The queen is diploid; the drones are haploid. Meaning the queen has two copies of each chromosome, and the drones have only one. So for each gene, the queen has two copies and passes one of those copies on to the drone.
This means the drones are different for exactly the same reason female bee siblings, or human siblings, are different: because every parent has two copies of a gene, that are often different, and passes only one of those to their offspring.
If the queen were homozygous for every allele, i.e. the two copies of all her genes were identical, then the drones would indeed be genetically identical. But this is true as well of the children of two completely homozygous parents.
See this page on inbred laboratory strains of animals (animals which are inbred to the point they and their offspring are genetically identical to each other):
F1 hybrids, i.e. the first-generation cross between two inbred strains, are isogenic but not homozygous.
In other words, if you have two parents who are genetically different, but have two identical copies for all of their chromosomes, their children will be isogenic (have exactly the same genes); they all have two copies of their genes, got one copy from their father and one from their mother, and those two copies might be different from each other (their mother and father have different alleles), but all the children got those same two copies because they're the only copies their mother and father have.