I like either Alena/Alana Madison. I love the name Penelope, but if you are hesitant about people using a NN and you don't want that, then only call her Penelope and just kindly reinforce what her name is. I would never shorten a child's name unless I knew for sure that is what the parents want. For example, my BFF's daugher is Madisynn and she is just that Madisynn, no Madi-nothing!
For the LONGEST time (since 3rd grade, I kid you not), I loved Madison as a middle name... Albany Madison was the exact name b/c I learned the state capitals haha...
Anyway... I wanted Madison as the first name, but I refuse to call her Maddy and would be LIVID if that's the nickname she got.... My husband is as big on NN as he is on FN's, so we are being particular w/ our choices.