The game randomly puts weapons in red chests, so there can't be any "sure fire" strategy to find eridian weapons. Just keep at it in New Haven and eventually you'll find some (I can't say the same for Underpass - never found eridian weapons there myself, only in Salt Flats). There could also be a problem that your character is not high enough level for eridian weapons. The character needs to be at least level 19.
Correction - just today found Eridian Lightning in "Underpass" chest (next to the metal bridge and "Boss" hut).