Can I use images from an arxiv paper (and some others) in my undergrad thesis?
There are at least four things to consider:

Is it allowed by academic ethics?
Yes, if you cite appropriately and make it clear where the image came from.

Is it allowed by copyright law?
Maybe.  You'll have to look at the license that the arXiv paper is released under.  If it is copyrighted and not under a license that allows reproduction, you may have to get permission from the copyright holder (could be the author, or a commercial publisher who published the paper.)  On the other hand, there could be fair-use laws in your jurisdiction that allow it; see  Academic fair use and using publication images in your thesis.  But that question is not strictly on-topic for this site, since it's more about law than academia.

Is it acceptable under your university's thesis regulations?
You'll have to read them.

Is it acceptable to your advisor?
Ask him or her.  Excessive use of material from outside sources, even if properly cited and permitted by copyright, may suggest that your thesis does not contain enough original work to merit a passing grade.