Male bees do have a penis. When a male bee or drone mates with the female queen bee, its penis which is located internally is everted which means is turned inside-out during the process of mating and the sperm is deposited inside the female's vagina. Bees mate during flight. The sperm is ejected forcefully into the queen's genital tract. Queens can store sperm for a long period of time until their eggs are fertilized. 

When mating has concluded, the partners separate however, the bulb of the penis remains inside the queen's genital tract. This causes the male to die off soon after mating. It also insures a great deal of semen remains inside the queen's genital tract. Queens can mate with several different partners. 

I have included a link which has diagrams of the reproductive tracts of immature and mature drones and another describing honey bee mating.