Here's a list of which institutions have produced how many Rhodes Scholars. The US service academies, listed at the bottom of page 6 of 9 (as of the date I linked to the pdf), make a good showing, especially given the relatively small sizes of their graduating classes compared to many schools on the list.
Should the pdf link change, see if there's a link here.
The list of the most recent (November 2017) winners is here. The Ivies are well represented, and each service academy adds one to its individual count.