Welcome to #nostr!
The wallet in primal is a custodial wallet they run for you. You can also use any other lightning wallet by plugging in your lightning address from something like nostr:nprofile1qqstxwlea9ah3u6kjjszu6a7lrnhqkfh8eptp2z6v0e9558tlkkl2rgpz4mhxue69uhhyetvv9ujuerpd46hxtnfduhsz9mhwden5te0wfjkccte9ec8y6tdv9kzumn9wshszxnhwden5te0wfjkccte9ekkjmnfvf5hguewvdshx6p07xr4s5 or nostr:nprofile1qqst4qyeqenw7zm0fwjsty68h6cnys5jre2xd8ngqpjv5a2j26s78fspzemhxue69uhhyetvv9ujucm0d9hx7uewd9hj75a0pev.