ELMA, N.Y.—There were denunciations of global elites, cheers for gun rights and U.S.A. chants. Speakers talked of the importance of keeping the 27th Congressional District red, and warned the Democrats would impeach Donald Trump if they take control of the House.

It was clear that Wednesday’s “Red Tide Rising” rally—headlined by former Trump adviser Steve Bannon—aimed to build support for GOP Rep. Chris Collins. But it had one notable absence: The congressman himself, who is under federal indictment.

Mr....