"Of course" means that the statement should be obvious, or can go without saying. Someone hearing "Yes, of course." could reasonably assume that there was no question that the answer might have been no.
"Yes, please" is an unusual reply to "May I use your pen?", and is much more often heard as a reply to "Would you like to use my pen?". However it could be a shortening of "Yes, please do." which means the speaker is pleased to let you do it. If you don't want to use "Of course", but want to be more emphatic than just "Yes", consider "Yes, certainly" or "Yes, please do."
Obligatory semantic nitpick:
Technically the question "Can I..." is about ability. "Can I use your pen?" means "Do I have the ability to make use of your pen? "May I..." is the correct form to use asking permission. However I must admit that "Can I..." when asking permission is so common that it's pretty much accepted everywhere.