All the Penelopes I've ever known have said: pe NEL a pee. I take it your pal makes it three syllables? Oh my.
A colleague once told me that she'd taught a child whose name was Yvonne though she pronounced it Why-vonny. Mother had seen it in a book and liked the look of it ... And my own mother came home one day shaking her head at an Heloise she'd just met who introduced herself proudly as Hell-oyz.