It's an interesting question. 'Do xx with a yy' is a standard construction, where xx is the activity and yy is the TOOL. 'Cut with a knife', 'paint with a brush' and 'write with a pen' are typical examples. 'Do xx in yy' is a less common construction, where yy is the MEDIUM. Carve in marble, paint in oils, draw in charcoal, write in blood (!) are examples. The phrase 'write in pen' or 'write in pencil' both use this construction. They are a little odd, because they use the name of the tool. They follow the same pattern because you are referring to the ink in the pen and the graphite in the pencil, rather than the physical act of holding the pen or pencil in your hand. Just think of ' in pen' as a set expression or prepositional phrase which functions as an adverb and means the same as 'in ink'. You can't say 'write in a pen'. This would suggest that you were inside the pen! Maybe a 'sheep pen', or a penitentiary?

"in," is normally short for inside. "In a car," means inside a car, for example. But in this case "write in pen," does not mean write inside a pen (because that would make no sense at all). In this case "write in pen," means 'write using a pen,' or 'write with a pen.' So you don't use an indefinite article 'a,' in front of pen because the meaning is not ... do something in a noun, in this case. We similarly say, in English: Write in black ink. Write in block capitals. Write in your best handwriting. In none of these cases does the word 'in,' mean inside either.