Penny is the late daughter of the vigilante known as "The Shadow".
Enter the Dominatrix
Penny is with Kinzie, Johnny, and Julius when Stinky Farterson pulls up on a Harley with Josh Birk. Josh is shown around while Penny questions the strange objects she photographed in the sky - flying saucers. Stinky is in disbelief. She had captured at least 100 ufo pictures. She later participates in the raid of the Military Island. She tries to hack into the system, but is captured by an unknown man. The man then takes her to a warehouse where they forcibly unclothe her. She struggles, but to no avail. The men then take her to an empty field where a giant UFO shows up, and takes her in. She is chained to a table, and a large 9 foot alien walks up and begins forcibly raping her. He forces her to give up the location of Steelport, and the aliens plan and assault on earth in 20 days. The alien (Zinyak) then sends her back to the warehouse where she is left to die.
Shadow of the Night
Before the events of the story Penny was killed in an unknown incident. This led to her grieving father to take on the mantle of the "Shadow" and get to the bottom of her death.