Mark,
There is a couple of things you can do. It really depends on the type of burl it is.
#1 is to try filling the chip with the shavings from turning the pen. While the pen is on the lathe, just fill the divot with thick CA than rub a pinch of the shavings into the divot. Spray with some accelerent and turn down or sand to match. If done correctly, this makes the hole invisible. Then just polish as normal.
#2 is to accent the portion that is chipped out. Anyone who has turned pens for any amount of time knows that burl is some of the hardest stuff to turn. It does not matter how sharp your tools are - you cannot fight nature and the inherant properties of the wood. To accent to divot, You can either use some crushed stone and apply it to the portion of the pen in the same manner as the shavings above.
Or you can do something a little different and inlay the piece with polymer clay. Just make the chip a little deeper using your skew point. Press the clay into the crack or divot and bake it in your oven (tube and all) as directed. Afterwards, pull it out and cool it off and turn down flush. Then finish as always.
I have used this technique on some spalted buckeye burl that has chipped out on me. I inlayed it with mother of pearl clay and it came out beautifully!!! Hope this info helps, if you have any questions, let me know.
chris