Because vicina agrees with pensione, which is feminine singular.
Italian adjectives usually agree in gender and number with the noun they describe.
Compare:
Alla is a combination of:
So:
This is called a contracted preposition.
Other common ones are:
Because in Italian, when a noun like stazione has a definite article, the preposition usually combines with that article.
Since the noun is la stazione, after a you get:
So a stazione is not correct here.
Italian often uses the definite article with places and buildings when speaking about a specific one, even where English usage may feel slightly different.
Here la stazione means the station.
So vicina alla stazione is literally near to the station.
This is the normal Italian pattern.
You may hear vicino used in an invariable way in some contexts, but in a sentence like this, learners should normally use the agreeing adjective:
That is the safest and most standard choice, because vicina matches pensione.
So for learning purposes:
Yes, but the original sentence is the most neutral and straightforward:
You could also say:
That version changes the focus a little: it emphasizes the location first, almost like Near the station, there is the guesthouse.
So the original sentence is the best basic pattern to learn first.