I think a band name is what you make of it. Some may be challenging as first impressions are lasting. Is someone going to read a club ad and come on out to see Penquin? Maybe...that's a tough call.
Better yet you need a statement (Catch-phrase) to back-up the name. For instance, one of my favorites was by a band called Speed Limit. Not a great name, but add:
"Speed Limit - It's Highway Rockery" Now it becomes a great name. ;)
Are there any good catch-phrases that can be added to "Penquin?" Lets see some ideas.