ConnectionPatch` can be used to draw a line (possibly with arrow head)
between points defined in different coordinate systems and/or axes.

from matplotlib.patches import ConnectionPatch
import matplotlib.pyplot as plt

fig, (ax1, ax2) = plt.subplots(1, 2, figsize=(6, 3))

# Draw a simple arrow between two points in axes coordinates
# within a single axes.
xyA = (0.2, 0.2)
xyB = (0.8, 0.8)
coordsA = "data"
coordsB = "data"
con = ConnectionPatch(xyA, xyB, coordsA, coordsB,
                      arrowstyle="-|>", shrinkA=5, shrinkB=5,
                      mutation_scale=20, fc="w")
ax1.plot([xyA[0], xyB[0]], [xyA[1], xyB[1]], "o")

# Draw an arrow between the same point in data coordinates,
# but in different axes.
xy = (0.3, 0.2)
con = ConnectionPatch(
    xyA=xy, coordsA=ax2.transData,
    xyB=xy, coordsB=ax1.transData,
    arrowstyle="->", shrinkB=5)

# Draw a line between the different points, defined in different coordinate
# systems.
con = ConnectionPatch(
    # in axes coordinates
    xyA=(0.6, 1.0), coordsA=ax2.transAxes,
    # x in axes coordinates, y in data coordinates
    xyB=(0.0, 0.2), coordsB=ax2.get_yaxis_transform(),

ax1.set_xlim(0, 1)
ax1.set_ylim(0, 1)
ax2.set_xlim(0, .5)
ax2.set_ylim(0, .5)

keywords: pythonmatplotlib