Penelope isn't my style, but it's a good name. It can fit a lot of girls- from serious to youthful, shy to extroverted, etc.
A single syllable middle name sounds best...not that I can think of much.
Penelope BessPenelope EvePenelope GwenPenelope RuthPenelope SolPenelope Zoe
and breaking this rule-
Dora PenelopePenelope AnoukPenelope LenoreVictoria Penelope