Hey, I'm going to start a new roleplay soon. My character is going to be a Knight of Arkay. Here's more of a lore question, will he be able to marry?

Yes, as followers of Arkay (the Imperial Version) see him as a circle, and as such life and death are at the core of their beliefs. He is both life and death, he takes the departed and brings in the newborn, for there has to be life for there to be death and the reverse. If anything, taking a vow of Celibacy would be against their beliefs, as cutting off reproduction is against one half of what Arkay is.

I'd also take a gander at what the http://www.uesp.net/wiki/Daggerfall:Order_of_Arkay is like. Ideally, a follower of Arkay is going to try and snuff out all instances of necromancy and undead.

I'd stay away from the Nordic Arkay, as he is seen more as the grim reaper, at best. Back then, before the nords had their religion very much imperialized, he was seen as an enemy and more of a minion of Alduin, as he did curse the nords into a much shorter lifespan. Shor took care of that curse by tossing it to the nearest group of people, which happened to be the orsimer.