You can import data into Jira using a CSV file. Take a look at this page: https://support.atlassian.com/jira-cloud-administration/docs/import-data-from-a-csv-file/
You will need to export data from Rally to a csv, format it, map the fields to Jira fields. Also make sure Jira configurations are in place to accept the data - for example create missing status, priorities or custom fields needed.
I hope it helps.