What is the wave in a signal, a variation in magnitude, of which physical quantity?
Typically in signal processing we don't talk about a "wave" in a signal. In signal processing we just talk about a signal.
A signal is a mathematical abstraction -- for the purposes of "pure" signal processing it's a function of one or more independent variables that is known.
It's up to you to map that from, and back to, the real world.
If you're working on one-dimensional signal processing, like the majority of us here are doing, then you're usually thinking of signals that are a function of time -- so you might be thinking of an audio signal from a microphone, or a radio signal picked up by an antenna, or some process variable in a control system. All of these would be expressed like $x(t)$, $y(t)$, $u(t)$, etc.
For typical 1D signal processing, your signals can be positive or negative, so you don't restrict yourself to thinking about the signal magnitude -- just its value.
If you're working higher dimensional signal processing, such as image processing, then your signal would have more independent variables, i.e. $u(x, y)$ might represent the pixel amplitude of a photograph or an x-ray image. I honestly don't know how MRI or CAT scans are stored, but for doing image processing it's probably convenient to represent them as a 3-dimensional amplitude of some sort, i.e. $u(x, y, z)$.
If you're thinking in terms of the Nyquist theorem, then in the 2-D case you're assuming a model for your signal that says something like
$$u(x, y) = \sum_n \sum_m k_{n, m}e^{-2j \pi (\frac n N x + \frac m M y)}$$
In this case the "waves", if you want to think in those terms, are the sinusoids generated by each $k_{n, m}e^{-2j \pi (\frac n N x + \frac m M y)}$.
Viewing your signal in the Fourier domain, these "waves" are always there -- even if the signal itself has no repeating parts. Mathematically, this is a tremendously powerful feature of the Fourier transform, because it makes it easy to solve linear differential equations (which was Fourier's motivation). Intuitively, this can be a tremendously powerful roadblock to comprehension of the Fourier transform, because those spectral components are there even when a signal isn't repetitive in the least.
If you see "wave" in the literature, or if you're tempted to use it yourself, then "spectral component" is the best general term, and "a component at frequency $f$" is probably the best term if you're being specific.