My ICloud sign in sends code to the wrong device.

You have not mentioned , initially from which device Mac / iPad the 2FA was created , if it was from Mac , in system preferences > iCloud > password and security > click on edit , the number can be edited , you have to first add a new number by clicking on plus sign ( and it will be a primary trusted number ) its up to you to delete the previous trusted number .

If 2FA was created from iPad , she can use maps and click on don't allow to get a verification code https://support.apple.com/en-in/HT204974

See the screen shots for Mac .

The two-factor code is sent to all of your trusted devices; their isn't an option to have it sent to only one. See: Two-factor authentication for Apple ID - Apple Support

tygb -- not sure if this is what you meant, but clicking on Don't Allow doesn't stop the code from being sent to that device the next time and changing trusted phone numbers also will do nothing to prevent the code from being sent to the iPad. The code is sent to all trusted devices every time (or I should say it is designed to do that -- it sometimes randomly skips devices).

It sends the code to my wife's iPad and she does not want it sent there.

This suggests your Apple ID is being used on your wife's iPad. When you signed in on her iPad, you made it a trusted device.

I need it sent to my iPhone.

If you mean only to your iPhone, see my previous comment. If it is not arriving on your iPhone at all, that suggests your Apple ID is not signed in on your iPhone and it is not a trusted device.