Lyric discussion by Picajo 

Cover art for The Misery lyrics by Sonata Arctica

No, I dont think the speaker is talking to a pen. If you look closer, you notice two "Persons" who are being adressed: "Lady Pain" and "My dear/my only one". I think he partly speaks to his pain, especially when he says "I write the lines you want me to" and "You steal my only hope and made me stay awake another night" and party speaks to his beloved one when he says: "If you fall, I'll catch, if you love I'll love" and so on. The theory with the pen seems not to fit if you look at lines like: "Don't be scared", or did you ever see a scared pen? Well, although I do not believe it, I am still thinking about it.