I don't really know, but it definitely seems unfair.
It's hard for you to threaten to sue her in small claims court (for your deposit if she doesn't return it) because I believe you would have to be here physically in order to go through small claims.
You could do a Google search for "Airbnb illegal nyc" (but not in quotes) and see what comes up. There should be articles about this like
http://www.nytimes.com/2014/10/16/bu...-contends.html
http://bucks.blogs.nytimes.com/2013/...n-airbnb-host/
and
http://www.nytimes.com/2012/12/01/yo...pagewanted=all
The only place I know of that you could possibly report this to would be the NYC Mayor's office of Special Enforcement or the NY State Attorney General. Even so, I doubt they will take action on one complaint. But it might give you a way to threaten her a bit to give your money back.