3 weeks old baby always keeps her head facing right side. She doesn't feel comfortable keeping head turned left side. Is that a concern?

Yes. Congenital muscular torticollis seems to be the problem. A stretching program when started before 3 months of age is successful in most of the cases. Check with your infant's primary care physician.
Torticollis. Not yet a concern. Try to rotate head in different positions while sleeping or resting in swing/car seat/etc. If no improvement then have your pediatrician observe for any torticollis forming. That's a contracture of the neck muscles that might need physical therapy to correct this.