Is they a demonstrative pronoun

No, the pronoun 'they' is a personal pronoun.

A personal pronoun takes the place of a noun for a specific person or thing.

They are: I, you, we, he, she, it, me, us, him, her, they, them.

A demonstrative pronoun takes the place of a noun, indicating near or far in place or time.

They are: this, that, these, those.

Example:

These Apples are locally grown. They look so good that I think I'll buy them.

These are my favorite Apples but those are good also.

Note: When the demonstrative pronouns are placed in front of a noun, they are adjectives.

Example: These Apples are locally grown.