The origin of the English word 'Penguin' is obscure.
It's been suggested that it may have come from the Welsh words pen - meaning 'head' - and gwyn - meaning 'white'.
Though, notably, many penguins don't have white heads, and are scarce in Wales.
More info at Etymology online
Note: The Online Etymology Dictionary maintains a free-access list of the origins of thousands of English words, a significant proportion of which are unknown