Penelope was a girlfriend of George McHale, during World War II. Prior to 1943, Mac wrote a letter to Penelope and asked his friend, Indiana Jones, to deliver it to her in the event of his death. As the war continued, Mac frequently supplied Jones with a revised copy of the letter in which he hoped that Penelope would properly mourn him, but also eventually find someone new to be happy with (just not Indiana). While searching for the Heart of Darkness in 1943, Jones briefly thought about these letters. One of the later letters was written on June 6, 1944 (D Day). With Mac surviving the war, Jones kept the D Day letter in his journal, along with a form letter from General Eisenhower.

After the journal was seized by the KGB in 1957, a notation was made about the D Day letter -- the KGB was unable to find any further information about Penelope (including a last name), but assumed that she had had a brief affair with Mac.

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