The wrist joint itself still functions, right? It's just that the peg has broken off at the wrist, and the peg fragment is lodged in the forearm?
Rather than supergluing the wrist to the peg, you might try fashioning a new pin from a thick piece of wire. A snippet from a heavy-duty paperclip should work. Whatever you use, the wire should be thick enough that the short segment (approx. 1 cm) won't bend under moderate stress.
You can use a small drill bit and a pin vise to bore holes in both the forearm and the wrist joint. If you are able to remove the peg fragment from the forearm, all the better.
Instead of gluing the end of the broken wrist joint directly to the broken peg, you'll be cementing the tip of the wire pin to the bottom of the hole in the forearm, and the other tip of the wire pin to the bottom of the hole in the wrist joint. If you do this carefully, the cement will never touch the moving part of the wrist, and the joint will remain flexible.
Test fit before you apply any glue.
{EDIT} E had the same idea. And we both have dog avatars, too.