Can you react to a unit being played as Ambush, what's the rule that says yes or no?

No, you cannot react to the playing of a unit with Ambush, even though the Ambush keyword grants the unit the [Reaction] permission to be played.

According to Rule 822.1.b, the Ambush keyword provides:

1. Permission to be played to a battlefield where you control units.
2. The [Reaction] timing required to play that unit during a Closed State (such as during a showdown).

However, playing a unit does not create a reaction window. Once the unit is played to the battlefield, it immediately resolves and enters play. As clarified in RiftJudge FAQ #9326 and #7795, units and gear leave the chain directly without a round of priority, unlike spells which linger on the chain.

You can react to triggered abilities (such as "When you play me" effects) that occur after the unit enters the battlefield, but you cannot react to the action of playing the unit itself to prevent it from entering play.