the rye bread they proably use is most likely a mixture of wheat and rye, if the loaf was just rye would be very dense, like the pumpernickle kind you buy in supermarkets. Try a smaller baker and ask...but it will have wheat included in the ingredients.
Waitrose do a rye/wheat loaf that makes brilliant sandwiches - ask for Landbrot (German for "country bread"). Don't know if this is like the Pret-a-Manger stuff, but it's jolly good anyway!