Yes, you can scrap alloy wheels. Alloy wheels are commonly grey because during their manufacturing paint is applied and then baked onto their surfaces.
Aluminum is beneath that paint and makes up the entire rest of the alloy rim. This is one of the reasons why they are so expensive to replace if they are damaged.
Any local scrap yard will accept alloy wheels but unless you own a tire shop or auto repair service, showing up at any scrap yard with a load of aluminum alloy wheels is going to cause suspicion.
They are worth their weight in scrap aluminum but they are worth more to junk yards and people looking for a replacement for their vehicle.
I know time is money and you may not want to bother with an online/news ad or with contacting junk yards in an attempt to sell the wheels but I mention these other options so that you know what and how else you can make money with the scrap alloy wheels.
If you plan on scrapping the rims instead of selling them, make sure that you keep up with aluminum prices to be sure that you will receive the most money for your scrap.
Even if you do not plan on scrapping anything else, knowing the buying price for the type of metal that you have is important.
What you have may be worth 5 bucks or 150 bucks. The metal buying price multiplied by how much your item weighs is what you can expect to be paid.