I don’t need a frontend on the WP site. All visitors will be redirected to an external url where my frontend app lives.

I now have the following code in the root of my theme functions.php:

if ( ! is_admin() ) {
  wp_redirect( 'http://www.example.com', 200 );
  exit;
}

Unfortunately this runs before the plugins needed to set up the rest api have run.

Where should I place this code to get it right?

Warning!

See answers(s) below.

Found a solution myself:

add_action( 'wp_loaded', function () {
  // check if there is a 'wp-json' URI part
  if (! strpos($_SERVER['REQUEST_URI'], 'wp-json')) {
    // No rest api request. Now check if we are on frontend
    if ( ! is_admin() ) {
      // We are on frontend: redirect now
      wp_redirect( 'http://www.example.com', 200 );
      exit();
    }
  }
});

The above code works fine (tested) if put in a plugin file.

The above code does not work (tested) when put in the root of theme functions.php file.