Returning it to the pharmacy is not a bad idea, but I would suggest either to the FDA or directly to the manufacturer. In the pharmacy you may encounter an 18 year old who does not take the issue seriously.
The pharmacy will probably replace the pen with a new one. it would be best that you do return it so it can be properly investigated.
The device should be sent to the FDA. You have suffered no harm and would not be entitled to any compensation. The sooner you do this the sooner a problem can be identified. I am sure this is not intentional on the part of the manufacturer.
Umm How about the pen Maker