There is no Photoshop arrow shapes option available (many apps have this but for some reason, the application does not have this). Go to the rectangle tool and set type to shape in the top left and create a very thin rectangle, longer than deep. You can then go to the triangle tool (or polygon tool and set the sides to 3) and then apply this as a vector shape also with the triangle and rectangle aligned.
You can then combine them using the move tool to select both shapes and then go to the layer menu and combine / unite command. Go to the direct selection tool and then select all the points in the vector and then go to the control bar and middle 'layer shapes (combine etc) and select merge shape components.
To save it for future use, go to the edit menu and define command. You will then see the item displayed in the presets panel. You may wish to then use the right side menu to export the file and the design for future use.
You can also use the same components and keep them separate, you don't need to merge them all but you can select the triangle and the rectangle or multiple components and then go to the layer menu and smart object and convert to smart object and apply effects etc and the smart object is also still live and can be re-edited.