Penny is the dwarf performer who travels with Tyrion in the novels but was omitted from Game of Thrones.
Penny performs a comic jousting act with her brother Oppo, riding animals in staged contests. Petyr Baelish hires the pair for Joffrey Baratheon’s wedding, where the act is part of the political spectacle surrounding the Purple Wedding. Afterward, Oppo is mistaken for Tyrion and killed by men hoping to claim the crown’s reward.
Penny later encounters the real Tyrion in Volantis while he is traveling with Jorah Mormont. She initially attacks him because of her grief, but Tyrion and Jorah take her along. Their journey leads to capture by Yunkish forces, slavery, and the fighting pits of Meereen, where Penny and Tyrion are forced into mock combat while riding pigs.
Penny is more than a comic side character: her fear, grief, and attachment to Tyrion expose his capacity for empathy. She is sometimes confused with Shae or other performers, but neither travels with Tyrion in this novel storyline. The television series removed the entire character and her plot.