Either "to the pen" or "into the pen" could be correct, depending on exactly what is intended.

If the farmhand is on a big farm or ranch he might spend, say, a whole day rounding up sheep over a large area and driving them "to the pen" - i.e. he takes them from a point some way away to the place where the pen is.

If, on the other hand, the sheep are fairly closely by and he is simply moving them into the pen, then he would indeed be driving them "into the pen".

(In a different scenario, he might put some sheep in a trailor and tow the trailor to the pen, in which case he would again "drive them to the pen", although in a different sense.)


In other words, context is everything. There are situations in which "to the pen" would be correct and situations in which it wouldn't.