I haven't yet found any jurisdiction that has such a rule. I'll complete this search, but until now, I've searched in many of the states, especially the most populous, and some of the larger cities.
Alabama
The Code of Alabama has only a no-coasting on a downgrade law (32-5A-57). It doesn't have any law about being in neutral at a red light.
Alaska
Alaska Statutes don't have any laws regarding being in neutral.
Arizona
Section 28-895 of the Arizona Statutes is the only mention of "neutral" in the Transportation title, and it's a no-coasting on a downgrade law.
Arkansas
Arkansas has a no-coasting on a downgrade law: A.C.A. § 27-51-1404 (2012)
California
The California 2013 driver handbook makes no mention of such a rule.
Searching through the California statutes for the terms "neutral" or "gear" did not return any relevant statutes, only a no-coasting rule at Section 21710:
The driver of a motor vehicle when traveling on down grade upon any highway shall not coast with the gears of such vehicle in neutral.
Colorado
Colorado only has a no-coasting on a downgrade law: C.R.S. 42-4-1009 (2012)
Connecticut
[Connecticut General Statutes, Chapter 248, Section 14-222 (2013)]
The statute prohibits coasting only for vehicles with commercial registrations.
Delaware
Delaware statutes only have a no-coasting on a downgrade law at § 4187.
Florida
Florida statutes make no mention of the word "neutral".
The Florida Driver's Handbook doesn't mention such a rule.
Miami-Dade county doesn't have such a rule.
Georgia
Georgia Code
only has a no-coasting on a downgrade rule (§ 40-6-246), and no restrictions about
being neutral at a red light.
Hawaii
Idaho
Illinois
625 ILCS 5/Ch. 11 (Illinois Vehicle Code: Rules of the Road) doesn't mention such a rule. It does have a no-coasting on a downgrade rule, though:
Sec. 11-1410. Coasting prohibited. (a) The driver of any motor vehicle when traveling upon a down grade shall not coast with the gears or transmission of such vehicle in neutral.
Indiana
Iowa
Kansas
Kentucky
Louisiana
Maine
Maryland
Massachusetts
Massachusetts doesn't have any laws about the use of neutral.
Michigan
The Michigan Vehicle Code only has a no-coasting on a downgrade statute.
Minnesota
Mississippi
Missouri
Montana
Montana code only has a no-coasting on a downgrade law: 61-8-362.
Nebraska
Nebraska Statutes only have a no-coasting on a downgrade law: 60-6,182
Nevada
Nevada statutes only have a no-coasting on a downgrade law: NRS 484B.123
New Hampshire
New Jersey
New Jersey Statutes only have a no-coasting on a downgrade law at Section 39:4-55.
New Mexico
New York
[New York Statues, Vehicle and Traffic Law, Section 1216]:
Coasting prohibited. The driver of any motor vehicle when
traveling upon a down grade shall not coast with the gears of such
vehicle in neutral, nor with the clutch disengaged.
The code does not mention anything about coasting while approaching a red light.
New York State's Driver's Manual doesn't mention such a rule.
New York City's traffic rules make no mention of such a rule.
North Carolina
North Carolina Statutes Chapter 20 (Motor Vehicles) does not mention the word "neutral".
North Dakota
Ohio
Ohio statutes don't have such a rule.
Oklahoma
Oregon
[Oregon Revised Statutes, Chapter 811, Section 811.495]
Unlawful coasting on downgrade.
(1) A person commits the offense of unlawful coasting on a downgrade if the person is the driver of a vehicle on a downgrade and the person coasts with the gears or transmission of the motor vehicle in neutral or with the clutch disengaged.
(2) This section does not apply to the driver of a motorized bicycle.
(3) The offense described in this section, unlawful coasting on a downgrade, is a Class D traffic violation.
Pennsylvania
Pennsylvania Statutes Title 75 (Vehicles) doesn't mention such a rule.
Rhode Island
[Rhode Island General Laws, Section 31-22-6.]
Coasting prohibited.
(a) The driver of any motor vehicle when traveling upon a down grade shall not coast with the gears of the vehicle in neutral.
(b) The driver of a commercial motor vehicle, when traveling upon a down grade, shall not coast with the clutch disengaged.
(c) Violations of this section are subject to fines enumerated in § 31-41.1-4.
South Carolina
South Dakota
Tennessee
Tennessee Code Annotated 55-8-167 has a no-coasting rule (either in neutral or clutch disengaged,) but no rule regarding a vehicle stopped at an intersection.
(a) The driver of any motor vehicle, when traveling upon a down grade, shall not coast with the gears of the vehicle in neutral.
(b) The driver of a commercial motor vehicle, when traveling upon a down grade, shall not coast with the clutch disengaged.
This rule is also mentioned in the Tennessee Comprehensive Driver License Manual.
Texas
Texas Statutes Transportation Code Title 7 Chapter 545 has a no coasting rule at section 406:
An operator moving on a downgrade may not coast with the gears or transmission of the vehicle in neutral.
It doesn't have any rule about being in neutral approaching a red light.
The Texas Driver's Handbook only mentions the no-coasting on a downgrade rule.
Utah
Vermont
Virginia
The Code of Virginia only has a no-coasting on a downgrade law at section 46.2-811. There is no red-light neutral rule.
Washington
Washington only has a no-coasting on a downgrade rule at Section 46.61.630.
West Virginia
West Virginia statutes don't have any laws about being in neutral.
Wisconsin
Wisconsin statutes don't have any laws about being in neutral.
Wyoming
District of Columbia