Penelope is a black-and-white female piglet that belongs to Farmer Henderson; she and several other farm animals visited the school in the episode "Down On Barney's Farm".
Once Farmer Henderson arrived with Penelope on the school playground, Luci suggested that Tina and Shawn teach Penelope "This Little Piggy". Shawn further emphasized that she could show it to her other siblings. "This Little Piggy" was performed twice for Penelope (first by Shawn and the second time along with Tina).
After they performed "This Little Piggy" for Penelope, Farmer Henderson took Penelope back to her mother during the episode.