Unless there is a vendor in the market itself that sells fiber (and I haven't been there recently enough to say one way or the other), I don't know of anything right near the Pike Place Market. The closest LYS, So Much Yarn
, is about 5 (or so, depending on where you start) blocks North of the Market at 2302 1st Ave S. I don't recall seeing any "local" yarns or roving in there the couple times I have been in. The only other nice LYS semi-close (but not walking distance) is Hilltop Yarn
on the top of Queen Anne hill. It's the closest one to my house and although they have some roving in addition to lots of yarn, I don't know that they carry anything "local" either.
For the most part I haven't found that LYS in Seattle carry much locally produced yarn or roving, unfortunately.
BTW, when you are at the market it is fun to drop by the original Starbucks store. It is across the street from the main market arcade building, somewhere in the northern section (sorry I'm not more specific - it's been a while since I was there).
Enjoy your day!