Received a 1099 for a custodian account for my son. My wife is the custodian. Do we report income on our return or on my sons return?

If his SS# is on the 1099 then it is his income and is reported on his return.  

That income is your son's, not yours.  Dependents who have unearned income, such as interest, dividends or capital gains, will generally have to file their own tax return if that income is more than $1,100 for 2019.   

A parent can elect to claim the child's unearned income on the parent's return if certain criteria are met. Generally, for tax years prior to 2018, the unearned income is taxed at the parents' tax rate. Beginning in 2018, all net unearned income over the annual threshold ($2,200 in 2019) is generally taxed using the tax rates for trusts and estates.  For information on reporting your child's income on your return, see:

How do I report my child's investment income in 2019?