You can create an unfinished circle by using an ArcSegment as a path segment in a Path shape. You specify the start and end point of the arc and the radius of the entire circle. You can render it on top of a blue circle by putting them in a grid:
<Grid Width="160" Height="160">
<Ellipse Fill="Blue"/>
<Path StrokeThickness="5" Stroke="White">
<Path.Data>
<PathGeometry>
<PathFigure StartPoint="115,45">
<ArcSegment Point="115,115" Size="50,50" IsLargeArc="True"/>
</PathFigure>
</PathGeometry>
</Path.Data>
</Path>
<Polygon Points="115,115 105,105 125,105 125,125" Fill="White"/>
</Grid>
You can also use the shorter Path Markup Syntax to create a StreamGeometry rather than a PathGeometry:
<Grid Width="160" Height="160">
<Ellipse Fill="Blue"/>
<Path Data="M 115,45 A 50,50 0 1 0 115,115"
StrokeThickness="5" Stroke="White"/>
<Polygon Points="115,115 105,105 125,105 125,125" Fill="White"/>
</Grid>
You'll need to work on it to get exactly the look you want, but that should give you the basic technique for drawing an unfinished circle with an arrow.