[Brightcolours]

You put focus on what you want to be in focus, basically. If there is a prominent 2nd subject, I would focus on that instead of the rainbow. It makes no sense to for instance have an important to the photo person not quite in focus, or that car you want to photograph, or that interesting building. Rainbows don't have a lot of detail, so slightly OOF will not matter.

If it is an entire landscape + rainbow that you want to photograph, focus in the same way as when there is no rainbow... So on the main other subject or the horizon.
No need for really small apertures, f5.6 to f11 would do.

Just to get a feel:

APS-C  24mm, f7.1, focussed on the tree. You do not notice the sky/clouds/sun the be OOF.


FF 20mm, f8, focussed on the cables. You do not see the clouds as being OOF.


Focussed on the trucks/signs. Do you notice the background/clouds to be OOF? No. Same with a rainbow.