That’s a great question!  I’d never thought about it before.  This story is told in both Mark and Luke.  I’m partial to the interpretation that I’ve read in the past that the story was an allegorical poke at the Romans.  A Roman military unit was called a Legion and the Jews used “pig” pejoratively to refer to Romans in general.  In the Greek the use of the word “pig” almost implies a sexual entering so perhaps the demons entering pigs was a double entendre.  Personally I agree with the theory that Mark was written just after the Jewish War.  As such it would make perfect sense for the allegorical understanding of this pericope.

I recently bought a commentary on Luke and looked to see what it had to say and the interpretation given there is similar to what I describe above for Mark with the added bit that perhaps Jesus was on the outskirts of Palestine and in that environment pigs would not be abhorred.  Pig bones have been found in several archaeological sites along the coast of Israel, but perhaps that was only from the time of the Philistines (the sites I was reading about were Philistine locales).

If you don’t subscribe to this idea then unfortunately you’re stuck with an uncomfortable inconsistency with pigs in the story in a place they shouldn’t be.

From an allegorical perspective the pigs are necessary.  Nothing about this pericope has anything to say about it being ok to eat unclean animals.  The fact that they’re unclean is necessary for the allegorical perspective to be true.  The demons = the Roman army (“my name is Legion”).  The demons are silly beings in this story and pigs are the lowest of the low, eaters of trash.  The demons, fearing that Jesus will banish them (how and where is not stated), implore Jesus to send them into some nearby pigs “so that we may enter them” (enter them in a sexual way?).  Being possessed causes the inept pigs/Roman army to go mad and run themselves off the mountain and into the sea.

If Mark was in fact written immediately after the Jewish War then all this story does is allow the author of Mark to take a legend he might have heard about Jesus that is marginally related to something Jesus did.  Maybe it is in fact related to some oral story of Jesus driving out demons.  Perhaps Mark then used the opportunity to poke fun at the Roman Army that had just destroyed Jerusalem.

I know nothing of Greek aside from the names of the letters and a passing ability to interpret some proper nouns when I see them, but the concordance I just looked at shows that the Greek for Legion is  Λεγιὼν.  That’s a capital lamda on the front.  This means Legion as in a unit in the Roman army.  This word is only used twice in the Bible: Mark and Luke in the story of the demons.  The same word with a lower case lamda λεγιῶνα is only used a couple of times, but in those other instances it means a large number of people, eg a legion of angels.

I think it is from this unique use of the word Λεγιὼν that scholars interpret the story here as being allegorical and making fun of the Romans.