I like your approach. "Here's the way I see the categories of 'elements' and 'not elements.' Why don't they draw the line this way?" While the line you want to draw to include "rays" alongside the elements that appear in the air isn't the one science draws, it does point out something really important: We draw the lines between categories because they are useful.
As it turns out, the differences in behaviors between "things" like hydrogen atoms and helium atoms, and "rays" like radio and X-rays is substantial as you dig further into science. The "elements," for instance, are "massive," meaning they have mass. Quantum scientists would say they "interact with the Higgs field." However, you choose to phrase it, these atoms behave very differently than electromagnetic waves (which is the proper term for "rays"). Electromagnetic waves have no mass (other than some secondary effects that you'll learn when you study relativity). Their propagation through space is well defined by Maxwell's Equations. They don't form bonds (like most elements do). They don't take up space (electromagnetic waves don't push each other away, but atoms can only get so close before the repulsive forces drive them apart).
Eventually, you will learn that the lines blur. Relativity will start to explain why electromagnetic waves indeed do have mass. Quantum Mechanics will point out that particles have wave-like properties. However, as you start out, the differences between "massful things" and "electromagnetic waves" is pretty iron clad. As you continue your studies, you'll become more comfortable with the distinctions drawn, and then we can slowly introduce all those strange line-blurring facets of our reality that makes science really interesting.