I understand that you want to add a legend to your figure that changes at every iteration of the loop. You can use the ' drawnow ' function to draw your legend and update your figures. You can refer the example shown below. I have also included a 3 second delay between every iteration to see the legend's string changing from 'curve 1' to 'curve1 curve 2' and so on.
j = 1;
prev = '';
while j < 4
ph(j) = plot(rand(1,20));
hold on
curr = [prev sprintf('curve %d', j)];
legend(ph(j), curr);
prev = curr;
j = j+1
drawnow; % draw now function
pause(3); % Added a three second delay to show each iteration, you can modify this.
end
hold off
Hope this helps.
