If you are using Neovim with Treesitter, you can use query injections to highlight SQL in Rust strings.

To do so, create a queries folder in your Neovim runtime path:

mkdir -p ~/.config/nvim/after/queries/rust
cd ~/.config/nvim/after/queries/rust

Then create a file called injections.scm in that folder and paste this content there:

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; extends

; A general query injection
; Adapted from 
;  https://github.com/ray-x/go.nvim/blob/master/after/queries/go/injections.scm
([
   (string_literal)
   (raw_string_literal)
 ] @sql
 (#match? @sql "(SELECT|select|INSERT|insert|UPDATE|update|DELETE|delete).+(FROM|from|INTO|into|VALUES|values|SET|set).*(WHERE|where|GROUP BY|group by)?")
 (#offset! @sql 0 1 0 -1))

Restart your Neovim. After opening Rust files with SQL strings, they will have syntax highlighting.

You can see how it looks like in the screenshot below: Screenshot