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I like it. And I think it could be an easy compromise if you get to name her Penelope, you know, just for the sake of having a more formal name to fall back on. ;) And then he can just call her Penny anyway. Everybody wins!

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Penelope Jane is OK, but Jane feels a bit filler to me. Since you are feeling open, I am just going to make random suggestions without checking your PNL:

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Penelope Louise
Penelope Elise
Penelope Cecile
Penelope Maren