Hello H. Baris,
The callout arrow is actually a background image in the callout div. You would need to replace the image file in your custom skin or override the CSS rule to display your own in order to modify it. You can find a simple page that illustrates the approach attached.
Please note that this case is simplified for demonstration purposes - it does not take into account the 8 possible positions a callout may have and thus the background-position property is also overridden. If you need to use more than one callout position I would recommend that you create a sprite that mimics the original so that you may use the original background-positioning (or you could create your own, too).
An alternative approach is to define each explicitly. For more information on the available CSS classes please refer to the following help article: http://www.telerik.com/help/aspnet-ajax/tooltip-appearance-css-selectors.html.
the Telerik team