Earlier quoted context omitted.
It is distorted in the sense that a sine wave that has been put through a nonlinear process -- e.g. clipped to form a square wave; clipped and integrated to form a triangle; clipped and integrated asymmetrically to form a saw; etc. Total harmonic distortion measures the amount of power that you have in harmonics vs. the fundamental wave. A purely sinusoidal tone would have no energy in harmonics; a saw would have 44%…
Maybe I was nitpicking about the use of the term "distortion" (I prefer "transformation"), but I did want to clarify that saw waves are more harmonically rich and complex than square waves.
Yah. I did screw up the comment, in that I had intended to talk about triangles first and then mention asymmetry.
The fact that you have second harmonics is what makes saws so useful as a basis function for synthesis.