Sly and the gang needed someone who was an expert in RC inventions, so they posted online about it and got an answer from Penelope. She mentioned that she was a pilot in the Black Baron's team, and would join the Cooper Gang if they defeat the Black Baron in the ACES competition.
Penelope does help out Sly and the team, when Muggshot attacks their hangar to gain an advantage during the ACES competition. This was because Penelope disliked cheating between teams in the competition, so she helped them defend the hangar with her RC helicopter.
It was during the finals of the ACES competition that the Black Baron was exposed, revealing it was really Penelope in disguise. She explained that she donned the Black Baron disguise to get past the dogfighting league's strict age requirements. As she kept winning, though, the Black Baron gained popularity and she had to keep using the disguise.
After the events in Holland, she would help the Cooper Gang in recruiting two more members, who were Panda King and Dimitri. She was captured by Captain LeFwee and during the boss battle with him, Penelope showed that she had swordfighting skills. She would also save Bentley and develop feelings for him, with the two eventually becoming a couple.
