If you are willing to switch to tikz-cd this becomes easy.
% arara: pdflatex
\documentclass{article}
\usepackage{mathtools}
\usepackage{amsfonts}
\DeclareMathOperator\id{id}
\DeclareMathOperator\pr{pr}
\usepackage{tikz-cd}
\begin{document}
\[
\begin{tikzcd}
p^{-1}(U_{\alpha})\ar{rr}{\tau_{\alpha}} && U_{\alpha}\times\mathbb{R}^k\ar{dl}{\pr_1}\\
& U_{\mathrlap\alpha}\ar{ul}{s|_{U_{\alpha}}}\ar[loop above]{}{\id} &
\end{tikzcd}
\]
\end{document}

In order to manipulate the target of the arrow, you may want to play around with the options in the arrow below.
\begin{tikzcd}
p^{-1}(U_{\alpha})\ar{rr}{\tau_{\alpha}} && U_{\alpha}\times\mathbb{R}^k\ar{dl}{\pr_1}\\
& U_{\mathrlap\alpha}\ar{ul}{s|_{U_{\alpha}}}\ar[%
,loop % tells tikz-cd to do a loop
,out=123 % start at angle 123°
,in=57 % stop at angle 57°
,distance=2.5em % biggest distance of arrow to node. You can use pt or cm as well.
]{}{\id} &
\end{tikzcd}

I just checked the syntax for xy and the default result looks quite good, too. Would this be close enough to the right arrow?
% arara: pdflatex
\documentclass{article}
\usepackage{mathtools}
\usepackage{amsfonts}
\DeclareMathOperator\id{id}
\DeclareMathOperator\pr{pr}
\usepackage[all,cmtip]{xy}
\begin{document}
\[
\xymatrix{%
p^{-1}(U_{\alpha})\ar[rr]^-{\tau_{\alpha}} & & U_{\alpha}\times\mathbb{R}^k\ar[dl]^{\pr_1} \\
& U_{\alpha}\ar[ul]^-{s|_{U_{\alpha}}} \ar@(ul,ur)^{\id} % smashing the alpha here would result in touching arrow heads. That's why I didn't do that here
}. % supposing, this dot was set here by purpose...
\]
\end{document}

_{\alpha}– daleif Mar 23 '15 at 09:18pr_1) should of course also be upright ;-) (just to be consistent) – daleif Mar 23 '15 at 10:02\DeclareMathOperator, that might give better spacing depending on the situation. – Manuel Mar 23 '15 at 11:18tikz-cd? I wouldn't want to change, if possible. Otherwise I will consider :). – MickG Mar 23 '15 at 17:01,loop) and not after them (i.e.loop.)? Seems quite strange to me to have them before… – MickG Mar 23 '15 at 17:04xy. I do not want to spend time on that, astikz-cdis my clear recommendation here. About the commas: It does not matter where to put them. I got used to this syntax as it is very flexible in terms of commenting out, reordering, adding or deleting options. I never get missing commas as I see them nicely lined up in the beginning. – LaRiFaRi Mar 23 '15 at 22:00