Rexx is a scripting language available for a wide range of different platforms with its roots found on mainframe systems. It is popular for I/O- and data based tasks and can act as glue language to bind different applications together.
I initially submitted this lexer in pull request 169 together with other lexers. Hopefull this makes it easier for you to review and merge it.
(I also cleaned up a few typos and PEP8 violations in other lexers.)