Save the handles of your plotted lines, then pass the specific handles of lines with a unique class to the legend command:
for i = 1:udClass
Legend{i} = ['Class' int2str(i)];
end
h = gobjects(N,1); % h = zeros(N,1) if R2014a or earlier
for i = 1:N
idClass = classVec(i);
h(i) = plot(X(:,i), 'color', colors(idClass,:))
x = floor(ndata/2);
y = 1- (i-1)/N;
text(x, y, int2str(i), 'color', colors(idClass,:), 'VerticalAlignment', 'top',...
'HorizontalAlignment','center','FontSize',8)
end
[~,idx] = unique(classVec);
legend(h(idx), Legend, 'Location', 'Southeast');
