Yeah. Use raised earth for walls for your pen. The Lox don't need a roof. Bats and drakes can't really hurt them before you can kill them all and angry Lox will stomp stone and wood walls into rubble. Even iron bars and gates are no match.

I had a similar issue to the one you have. The Lox I first tamed kept trying to go back to their spawn point. I had to wait for them to reproduce and then once I had an extra 4 lox I culled the original 2.

Even if your workbenches that you used to raise the wall gets broken and plains mobs spawn inside your pen when you arrive or at night if you are there 8 or more lox in your pen will make short work of them and you can just run through the pen after and pick up the black metal scrap or needles.

https://steamcommunity.com/sharedfiles/filedetails/?id=2910785269

With your current problem you might have to tame 2 new Lox and start over.

You could also just cull these 2 and then spawn in 2 new ones and insta tame them with dev commands. Sometimes the game has phantom mobs. Those lox might not even be there. If you can't hurt them with a tin butcher knife (one hit with a tin butcher knife can't kill a Lox it takes at least 2.) then you'll know that they are phantom Lox and you can just open the pen and push them out. (The saddle trick might be a good thing to try before you do that though just in case it works.)