هناك (There) is used here for pointing out, pretty much as in English. If you remove it here, the negative particle ليس would be negating (i.e. acting upon) the next word which would be قلم (qalam), and thus the meaning would change completely into something like (It is not a cheap pen in my bag)..
The two words are not connected. It's just Duolingo and its weird sentences. Pencil in Arabic is typically referred to as قلم رصاص meaning (lead pen). Not sure why, but it might be for the color that it produces which looks like lead and such.
A regular pen with ink, might be called قلم حبر (qalam Hibr) meaning simply (ink pen). Or typically might just say قلم (qalam). The word (qalam) is used for any writing tool in general.
The word رخيص on the other hand is irrelevant. It's just an adjective, meaning cheap, which is used to describe some pen here.
Cheap pen = قلم رخيص
Cheap pencil = قلم رصاص رخيص
Cheap glasses = نظارة رخيصة - for example's sake, and so on.