Why is lo in this sentence? Can't I just say non so?
In English, we often just say "I don't know," but in Italian, you usually need to say what you don't know. Lo means "it". So, nonlo so literally means "I don't know it." This is the standard, natural way to say "I don't know" on its own.
Why use so instead of a form of conoscere here?
Italian has two verbs for "to know". Sapere (whereso comes from) is used for knowing facts or information. Conoscere is used for being familiar with people, places, or things. Since you are talking about not knowing a fact or piece of information, so is the correct choice.
Why is the order non lo so instead of non so lo?
In Italian, small object words like lo (called pronouns) almost always go right before the verb. The negative word non goes at the very beginning of the phrase. So the strict order is non + object + verb.
What exactly is beh?
Beh is a very common filler word in spoken Italian, used exactly like "well" in English to pause or start a sentence. It is actually a shortened form of bene (well or good). You will often hear Italians drag it out as they think of what to say next.