According to the Codex, wp_nav_menu()
has a couple parameters to add HTML or entities before and after the generated HTML. The parameters you want is link_before
and link_after
and to get the effect you’re after looks like this:
'link_before' => '<span class="left_arrow"></span><span class="middle_text">',
'link_after' => '</span><span class="right_arrow"></span>'