Magic Keyboard with little gray ball as cursor.

Sorry, no, the cursor cannot be changed to an arrow (or any other icon, for that matter.) Here are the only things you can do on an iPad: Make the pointer easier to see when using a mouse or trackpad with iPad - Apple Support.

While the size of the dot-cursor can be altered, you cannot [yet] change its style from a dot (representing the “touch” point) to an arrowed or other pointer. That said, if you wait for a few weeks... ;-)

Information about customising the Mouse/Trackpad pointer for the current version of iPadOS can be found here:

Use a Bluetooth mouse or trackpad with your iPad – Apple Support

Apple invite submission of comments and feature requests via its Product Feedback portal. If you would like to see additional features and capabilities in a future version of iPadOS, this would be the appropriate channel through which to make such a request. For iPad and iPadOS:

Feedback - iPad - Apple