She sounds a pain in the arse and no mistake but I wouldn't be planning anythi hasty just yet if the job and salary suit otherwise. Don't let it ruin your weekend, just make a plan.
She may just be terrible at training and once you have the work down pat she might ease off- how is she with other staff? Perhaps she doesn't realise how much she does this. Make a point of noting down all of her instructions and changes so she knows you're taking them board.
Plan-wise, I would suggest making the decision to crack on until say, it's been 3 months. See how things are. Be polite, check instructions she gives you to make sure you're on the right track, and generally try not to take her behaviour personally. Ask for feedback and check if you're not sure about anything. Essentially give her confidence that you are diligent and you can be trusted to care about the work. Assume at this point that she is just bad at managing a new recruit. Leave the job at the door at 5pm. Don't let this affect your confidence. She is a bad manager, it's not that you're a bad employee (you haven't had chance to be after a couple of weeks!) or she's necessarily a mean person.
I would suggest having a look around for work that is as well paid and well suited just so you know what's out there.
Then re-evaluate after that 3 months months. Are things worse? Better? The same? Now may be a good time for feedback on how you're getting on overall. Say you've noted quite a lot of amendments from her side so does she feel you need extra training or any desk notes to help make sure the workload is clear as you are hoping to get working more independently.
6 months. How are things? If she is still a nightmare? If so I would get through your probation then ask for a frank confidential convo with her line manager.
Say the work fits you well and you havent been given reason to believe you're not performing, in fact you've been seeking feedback, however the management style is making it quite difficult to give the job the full attention you would like and is there anything that can be done. Make clear it's isn't about wanting to start a grievance, you just want support in getting on with your job.
My instinct is that she might calm down soon enough but either way decide how to manage it, disentangle any feelings, it's not personal and unless another good fit comes up, give it a go for a few months.
You could try approaches like 'thanks for the extra pointers, Sue. Shall I see how I get on with this spreadsheet how you've explained it and we'll reconvene after I have finished and you can let me know how it looks? If I'm honest, I learn better through doing'.
Main things, don't cut and run too quickly and don't let the bugger grind you down!