I looked and didn't find a direct option to turn off the arrows. Maybe someone better with graphics can help you there. As a crude workaround, you can set the lines with the arrows to be invisible and plot them again using the XData and YData properties. For example:
>> H = tf([2 5 1],[1 2 3]);
>> nyquist(H)
>> handles = findobj(gcf);
Now I'm going to make the lines from the Group object invisible (This may be different depending on your data):
>> handles(14).Visible = 'off';
Now plot the lines using the XData and YData from the grouped objects:
>> hold on;
>> plot(handles(14).Children(1).XData,handles(14).Children(1).YData,'b')
>> plot(handles(14).Children(2).XData,handles(14).Children(2).YData,'b')
Hopefully this should at least get you started with what you want to do.
