Westkyhunter,
From what all I've read it's not illegal to possess one. You just can't buy,sale,trade,or barter the shells in Ky. It's the same way here, I've been picking up shells for years. Ide call your state wildlife agency just to make sure tell them you found one and wanna keep it. I call ours all the time, I learned a long time ago don't go buy what people say. For example, I've heard here since I was a little kid from 100's of people say you can't gig bullfrogs you gotta hand grab them. Well one call to the MDWFP solved that. They said that's there #1 asked question. They said you can gig,shoot,arrow or any other method you wanna use as long as you don't go over the limit. I still have people tell me you can't do that. I just give a little chuckle and say alright.