It entirely depends on the set. If they implement outright custom one-way arrow graphics, yes, it will work. If they simply use the default ones, but recolor them differently, then no. There are custom sets that do this.
Basically, any object (this isn't limited to one-way arrows - pickup use it too, and there's also nothing at all stopping you from doing it with custom objects, and yes, you can define custom colors too, just be aware that most graphic sets won't define anything for them unless you specifically add it yourself) can make use of recoloring based on the theme file. We could have used this to recolor other objects that exist across multiple sets in slightly different colors too, although generally if you need more than one or two colors it's probably more hassle than it's worth - it was justifiable for OWWs and pickups because they only use one and two colors respectively, and they're pretty universal in nature.
I'd be surprised if the graphic set editing tool supports this, as it's quite an advanced feature, but if you take a look at the data files (both text and images) for themes and for objects that do this, you should be able to figure it out and implement it via manual-file editing. Of particular note, pickup skills actually use additional image files to determine where to recolor and with which color (one-way arrows don't need this, as the entire graphic gets recolored in a single color). Now, whether that'll be particularly useful outside of one-ways and pickups, is another matter.