I have a question that seems to me logic, but I haven't seen anywhere such a claim.
Could we claim that the range of the correlation coefficient or the covariance belongs to $\mathbb{Q}$, namely in the set of rational numbers? Is any theorem or something that gives a connection between them?
If your data points are themselves rational, then the covariance will be rational since the covariance formula involves only addition, subtraction, multiplication, and division. The formula for the correlation coefficient $r$ involves square roots, so might be irrational, but $r^2$ will be rational.