Using low-temperature scanning tunneling spectroscopy applied to the Cs-induced two-dimensional electron system (2DES) on p-type InSb(110), we probe electron-electron interaction effects in the quantum Hall regime. The 2DES is decoupled from bulk states and exhibits spreading resistance within the insulating quantum Hall phases. In quantitative agreement with calculations we find an exchange enhancement of the spin splitting. Moreover, we observe that both the spatially averaged as well as the local density of states feature a characteristic Coulomb gap at the Fermi level. These results show that electron-electron interaction can be probed down to a resolution below all relevant length scales.