What sucks even worse is that I don't think I remember another vendor having regular arrows anywhere near the early part of the game. ... you can buy the more expensive fire and poison arrows from the vendor in the tunnel between undead burg and the depths but you an't reach him early on.
Yea come to think of it - arrows should be alot more easily available - particularly early on when souls are relatively sparse... you kill that vendor - you're pretty much boned. ---
Actually, you could kill NPCs in Demon's Souls. Anyway, the female undead merchant is at the end of that long tunnel between firelink shrine and undead burg, but there is a locked gate. I'm not sure if the Master Key works on it. If it doesn't, you can access her by going into lower Undead Burg, which has dogs and assassins, then going down the staircase at the end, and then to the left of this next long corridor is a door, which leads to a staircase, which leads to a tunnel, which leads to her.