You would have to export the photo (say to your desktop), open it in Preview and add your arrow and then re-import it back into iPhoto.
You could set Preview as an External Editor and then avoid the whole export/import dance:
You can set Photoshop (or any image editor) as an external editor in iPhoto. (Preferences -> General -> Edit Photo: Choose from the Drop Down Menu.) This way, when you double click a pic to edit in iPhoto it will open automatically in Photoshop or your Image Editor, and when you save it it's sent back to iPhoto automatically. This is the only way that edits made in another application will be displayed in iPhoto.
Regards
TD