The practice for calling signals digital or analog in communications systems is that analog signals carry information in continuous or semi-continuous changes in the signal, whereas digital ones carry information in discrete changes. Discrete and digital are used interchangeably. See for instance Stallings basic books, or see modern and excellent books in communications like Proakis and Salehi Communications Systems Engineering. Wikipedia may also be ok, but they're never really correct (I teach a course on it and have to always warn the students). Since the information carried is the relevant factor, the provisioning of information to some electromagnetic (or other) wave (also called the carrier wave, or carrier) is called modulation, or sometimes more generally encoding.
Wiki is at https://en.wikipedia.org/wiki/Digital_signal. No guarantees.
After the modulation everything, carrier and modulation, ie, the full signal, is usually upconverted to the frequency at which it is meant to be transmitted, sent tot he antenna, and radiated away. Yes, of course, the actuial physical wave sent out, with the carrier imparted with the modulation (ie, the changes), is analog, in the sense that even the discrete changes take a small amount of time, and the power being sent does have some, typically very small, power in the time during which is 'discretely' changes.
Thus an FM modulated signal is analog, also AM and PM, where the changes are continuous. The digital (discrete) equivalents are FSK, ASK and PSK, where the freq, amplitude or phase changes quickly, called discontinuously (more on this in next paragraph, it always takes a bit of time as stated above). In digital signaling there is a lot lot lot more control and precision one can exercise over the signal features, and thus more information. Digital circuits also make it much cheaper.
As for those discontinuities, as you probably know from Fourier transforms and from quantum mechanics, any fast change in the time domain of the signal, called the waveform to emphasize it's changing shape, will mean the time uncertainty of the change is small, and thus the energy will be spread over a larger range, creating what is interference in nearby frequency bands. Thus part of the trick (now a well understood set of tradeoffs) is to have some shaping of the transition for the optimal tradeoff desired. In modern LTE 4G wireless comms the carriers are separated via an inverse Fourier transform so that the interference with adjacent frequencies is theoretically zero, at the specific transition time, but again, still some design tradeoffs.
So, yes if you are a physicist or an RF engineer or technician you might say all signals are analog. But the practice in communications engineering (systems and design engineers, practitioners and technicians) is to call those with very rapid transitions, digital.