Where can I find information about the demographics of Finance PhD applicants to US schools? Where can I find information about the demographics about previous majors of Finance/Econ PhD applicants to US schools? 

I mainly want to know what are their undergraduate/graduate majors. I assume most of them would be Econ/Finance major, but how many actually comes from a different major? How many of them carries a math double major?

Even information of a particular school would be helpful.
Other than surveying separate programs and students in these programs, you might find the PowerStats (National Center for Education Statistics) product helpful. NCES collects data on undergraduate majors, graduate majors, etc. It'll take some exploration to see if the data is there -- and you will likely have to merge different datasets.

http://nces.ed.gov/datalab/powerstats/default.aspx