The West Brom goalkeeper will take over from another loanee, Mikkel Andersen, after his six-month deal from Reading expired this week.
Penney has no injury or suspension problems ahead of his first game in charge.
The former Doncaster and Oldham boss will be hoping to make an immediate impact on a team that have just one win in 12 games in all competitions and currently sit four points from safety in the League One table.
Winger Mark Wright has joined Shrewsbury on a permanent deal after spending the first half of the season on loan at the Greenhous Stadium.
Source: PA
Source: PA