What can I substitute for rye flour?
Do you want rye bread, or do you want "the taste you may associate with rye bread?" (caraway seeds)

If you want bread that tastes like seeded rye, caraway seeds will get you 99.5% of the way there - they are rather overpowering and appear to be what most people "mean" when they say "rye bread" in my experience. They can be put in wheat bread without most people being any the wiser as to the actual grain in the flour.

If you want it marbled, mix some molasses or carob in part of the dough.

If you are not in some terribly inaccessible/inconvenient location, ordering in rye flour should be possible, though you might make sure you have checked all the markets in the area, as what a "supermarket" might not have, a "health food store" or cooperative market might. In some cases, the "baking aisle" won't have what you want, but some other aisle in the same store will (natural foods or some such.)