From what I can recall most rims are powder coated to make them colored (red, black, gunmetal, etc.) which is kind of like painting, but includes harsher chemicals in the process and can not be removed with paint thinner.
If you media/sand blast them you want to make sure they use a VERY fine media otherwise you get the bruched look which is sort of a dull-ish look, due to small pitting all over.
There may be a process that the wheels could be put through to remove the coating on them without causing any pitting. Though I would check with someone proficient in that field to be sure of your options.