This is really a quantum mechanics question (and I've always HATED quantum mechanics because I just can't "feel" it like I can classical mechanics) so it's probably more appropriate to say that it can be represented by a wave function. I don't necessarily think of that the same as an electromagnetic wave. After all, all subatomic particles have a wave function. On the other hand, when we say that a photon has both a wave nature and a particle nature, the wave nature of a photon is definitely electromagnetic in nature. The particle nature of the photon is interlinked with the fact that it is not a continuous wave but has to have an on and off condition. We normally think of that as a "wave packet", but what's hard to reconcile with classical electromagnetics is that you can't really create a burst waveform that doesn't have higher order harmonics in the Fourier spectrum. So how can a photon be only a single color?
I'm sure a quantum mechanics expert will jump in and give you a better answer, but this is the way I think of it these days from a classical EM perspective.