Penelope is a character played by Kristen Wiig on Saturday Night Live.
She is a nervous woman who compulsively one-ups everyone with increasingly impossible and ridiculous claims, irritating those around her. Finally, one character (usually played by the host) retaliates by making equally impossible claims and copying her mannerisms.
At the end of each skit, her outlandish claims often are revealed to be true, such as she is best friends with Liza Minelli and that she is able to turn into a black-and-white version of herself. She always nervously twirls her hair and hunches over as she one-ups people.