Is the story true about the arrow being pulled from Ali's thigh while he was praying during the Battle of Siffin? And where can this hadith be found? And is praying two rak'ahs after the adhan and before the obligatory Maghrib prayer from the Sunnah?

There is no basis for the mentioned report about Ali (may Allah be pleased with him) and his being struck by an arrow. However, something similar was reported about Urwah ibn al-Zubayr when he suffered from gangrene in his leg. He refused to drink a potion that would dull his senses before his leg was amputated with a saw, and he continued reciting the Quran despite the pain. As for the two rak'ahs before Maghrib, there is a difference of opinion regarding their Sunnah status, and the Hanafis hold that they are not Sunnah.