Born at 1pm on 15 September 1772. Penelope was born with a blackened face and unable to breathe properly. She survived just 10 hours, and died just before midnight the same day.
It was said that Mrs. Thrale had driven herself to total exhaustion during her previous pregnancy and had not recovered by the time Penelope was born.
Penelope was buried in St. Leonard's Church, Streatham without any monument.