A kill pen is essentially a place where a kill buyer aggregates his horses before shipping them to a feedlot or to a slaughter house. A kill auction will also have kill pens available for the kill buyers' purchases.
A kill pen typically has horses loose intermingled together. This can cause issues such as the easy spread of strangles and so forth.
Some kill buyers allow rescues to buy horses out of kill pens.
Some rescues and anti slaughter advocates prefer not to rescue horses in this manner believing the horses are simply replaced and the additional money the kill buyer earns enables his business. Horse slaughter is afterall a demand based business.