I imagine you can delete/mod messages addressing them via tag id, and I supposed there is similar API to pin a specific message. But I can’t find the pinning API at all. Neither in docs, nor here on forum.
There is no API for pinning a message, which is why you’ve been unable to find any docs for it.
It is currently one of the most voted for feature requests on UserVocice though https://twitch.uservoice.com/forums/310213-developers/suggestions/45606919-pinned-messages-api, and is currently tagged as PLANNED so support for an API endpoint and EventSub topics should be at some point in the future.