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