Дмитрий

$html .= '<a href="'.esc_url($link).'"><li>';
$html .= '</li></a>';

<a></a>
<li>
<a></a>
</li>

<div class="menu">
        <ul>
        <li class="arrow-down"><a href="#">пункт меню</a>
            <ul>
            <li class="arrow-left"><a href="#" title="" >подменю со стрелкой вправо</a>
        <ul>
        <li><a href="" title="">1</a></li>
        <li><a href="" title="">2</a></li>
        <li><a href="" title="">3</a></li>
        </ul>
      </li>
            </ul>
      </li>
      </ul>
</div>

.menu ul ul a, .menu ul ul a:visited {display:block;font-size:12px; text-align:left; color:#545554;width:200px;height:100%;line-height:1.5em; padding:9px 0 9px 12px; border-bottom:1px #ebebeb solid; font-weight:normal;}

.menu ul ul li:hover{background-color:#850336; color:#FFFFFF;}
.menu ul ul a:hover > li a  {background-color:#850336; color:#FFFFFF;}
.menu ul ul :hover > a {color:#FFFFFF;}

.menu .arrow-left {background-image:url('images/arrows.png'); background-position:193px 14px; background-repeat:no-repeat;}
.menu .arrow-left:hover {background:#850336 url('images/arrows.png') no-repeat 193px -18px;}