you would need to be very careful as rust shouldnt go anywhere near a piercing.
The only way i think this would be possible is to get a piece of piercing jewellery such as a bolt or other hardware piece you need and then artificially age it. There are a few tutorials online for this kind of thing but I am not sure what the safety implications might be. Any kind of finish on a ring or other jewellery would need to be completely compatible with biological issue.
I cant find any rust finish piercing jewellery on google either so that may tell you something.