Penn-ELL-oh-pee Pronounced like that because it was ancient Greek (Odysseus' wife, who waited 10 years for him while he fought in the Trojan War, then another ten years for him to eventually get back to her. Meanwhile, to delay them, she told the many blokes fighting to get her to "ditch Odysseus and marry me" (thus gaining control of her property as well as her) that first she had to finish weaving a shroud for her father-in-law. By day she wove, by night she undid the day's work.
There is a business selling embroidery materials called Penelope - could be a reference to all the unpicking that goes on when we make mistakes.