I've had steel "welded" trailer wheels powder coated many times without any issue of rust between the two welded parts.
You will have rust issues and coating chipping around the lugnut holes (like House said) unless you sand off all of the coating on the small area where the lug nuts tighten.
My big concern with powder coating is that if the wheels are exposed to long term (like one year) of any sun exposure you will have chalking of the product. In my personal experience, a quality "two part" epoxy primer, then top coated with an automotive quality paint will give you the best UV protection.