From the introduction:
This game presents an adaptation of "The Wizard of Oz". It's about three creatures who are looking for something that they may already have, but they think that they are missing. One will be beautiful, the other wise, and the third exciting.
They are sent out on a journey to find the Wizard, which can meet their wishes if they are willing to sacrifice everything they are and everything they know. Along the way are creatures who will try to get the protagonists to doubt themselves. But where once they were alone, they now have each other, and that might give them the strength to accept themselves as they are.
Under Regnbuen takes place in an abstract universe a bit like those found in fairy tales or children's books.