I think people are missing the question. This is NOT an ELECTROCARDIOGRAM, (EKG) but an
ECHOCARDIOGRAM -- big difference!! ;)
Most of the Echo units that we use today are equipped with CD writers, and that's typically what they will copy to so they can send it to the doctor/cardiologist. There should be no reason that you can't ask for one yourself. Bring a blank CD just in case, but I'll be they will have no problem just burning one for you on request.
No, this is NOT a HIPAA violation because it is YOUR heart they're recording, and your getting a copy of it. It WOULD be a violation for a doctor/nurse/common person to request a copy of your Echo for their own use. Don't worry about that.
Best of luck!