Interesting question. I think it's safe to say that most bakeries in the U.S. sell only whole loaves, of various sizes. But one bakery I go to makes very large loaves of pumpernickle bread and rye bread, and you can buy either a whole or a half loaf. The same bakery also makes Challah bread (a braided Jewish egg bread), and in that you can only buy a large or a small.
In that bakery, I would say either "I'd like a half loaf of rye bread, please" or "I'd like half a loaf of rye bread, please." (Probably I would say the former if half-loaves were already available in plastic bags, but if I saw only whole loaves and I wanted them to divide one for me I would say the latter. It's not a crucial difference.)
There's an old saying -- "Half a loaf is better than none."