It is not compiled, so there is no object code. Each logical line is interpreted as the interpreter goes along, and the result is kept in storage, but only till the interpretation of the single line has completed. And perhaps called routines, but I don't know the details.
You can compile and link REXX code if you have the compiler, see IBM Compiler and Library for REXX on System z: User's Guide and Reference. But then it becomes a normal program, not interpreted.