Where can I find information about the demographics of Finance PhD applicants to US schools?
Other than surveying separate programs and students in these programs, you might find the PowerStats (National Center for Education Statistics) product helpful. NCES collects data on undergraduate majors, graduate majors, etc. It'll take some exploration to see if the data is there -- and you will likely have to merge different datasets.

http://nces.ed.gov/datalab/powerstats/default.aspx