There's a melee merchant but he only has bats and batons. The knives I have are those I looted from bodies. It's strange that weapon vendors don't have any indeed; I saw the same here.
The older guides are saying that coach Fred should have knives, at least at a certain point. Maybe I'm not there yet. But the axe I'm able to throw has been more than adequate. It shockingly sometimes does more damage, when aimed at the head, than my pistol.
In other news, I have to say I'm pleasantly surprised at how decent the stealth system is. In my previous playthrough I killed a japanese mobster (called Jontaro, or something) by going into an all-out shootout.
Well this time, I sneaked directly into his upper floor from nearby buildings. It was fun finding a way up there.
And then I managed to kill one of his bodyguard with my axe, from afair. And then sneaked into his apartment, disabled his camera and turret.
And then sneaked behind him and strangled him. So much fun.
Unfortunately it devolved into an all-out shootout afterwards, when an axe throw didn't kill one of his guards. But hey, it was fun while it lasted. I think throwing stuff is gonna be fun, and I hear it's quite overpowered.
And I forgot to mention, I'm playing on very hard, so hacks are mandatory to keep enemies still so I can headshot them. It's quite the challenge, but oh so fun.