I have looked at as many functions as I can and I still can't find one that lets you intercept the click of a TI arrow key click.
For Basic programs, which are run with the "Prog" button, you'll need to call getKey, which returns a key code for the last button pressed. The arrow buttons are mapped to codes 24, 25, 26, and 34.
More information is available at TI-Basic Developer, underneath the heading "Reading Keypresses".