One way is to put a line of code that sets the rectangle into a separate file and call that file from the gnuplot script. So you have a file called "coord.txt" that contains one line
set object rect from 2,2 to 4,40
and you have a gnuplot script called "rect.gp" that says
set title "call rectangle coordinates" load "coord.txt" plot x**2
If you are now inside the gnuplot type load "rect.gp" , you get your graph with a rectangle.
This may not be exactly what you are looking for, but perhaps the first step.
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