You'll have to instance and work with the line object. Something like this:
'Draw the distance axis
With .Shapes.AddLine(Xmin, Ymin, Xmin, Ymax).Line
.EndArrowheadStyle = msoArrowheadTriangle
.EndArrowheadLength = msoArrowheadLengthMedium
.EndArrowheadWidth = msoArrowheadWidthMedium
.Weight = 3#
will draw a single line that has an arrow head. You will need to pass it the four points to draw your rectangle. You could also use a polyline or "shape" and pass its ordinates.