A customer threw a pen at me at work, I threw it back. I lost my job. Who do I sue?

Based on your question, it appears that the employer had valid reason for terminating you.  Just because the customer started by throwing the pen, under the law you do not have the right to then retaliate by throwing the pen back.  You could have potentially opened your employer to liability if the pen would have struck the customer in a place where it could have caused damage.