Hard to tell without knowing what system you're using for movement.
Are you using 8 direction to move your player? Bullet?
I'm working with your description of "compass sprite that actually works that will point in the direction the player is going."
In either case, just create your compass arrow sprite, anchor it to your viewport and set angle to where player is moving.
But if you want it to point to the direction of where your player HAS to go then simply create a sprite, whether it be a doorway or a colorless box indicating the next transition point of your map in which case you would set your compass.angle to that said point.