In you case, you should remove the write protection at first and then can format it.
<1>. Remove the write protection at first.
You are supposed to check whether there is a switch on your pen drive to close the write protection function. If you do not find such a switch, you should disable it step by step as this article writes: *****How to remove write protection from a drive or memory card? *****
<2>. Recover your data.
If there is something important on this pen drive, you should try a drive recovery freeware to get back your data before the format. This freeware has successfully recovered my data from a unformatted drive before. It is worth trying!
<3>. Format this pen drive at last.