What IS the correct pronounciation? In German we have an accent on the second and last syllable: Penélopé
Roughly, "pehh-neh-loh-pehh". /pɛːnelopɛː/ in IPA, with long vowels on the first and fourth syllable. Japanese generally follows classical Attic Greek pronunciations when using Greek names and loanwords. Or at least tries to.
Side notes
Like Japanese, Ancient Greek doesn't have stressed syllables. Instead it has a pitch accent (again, like Japanese). Modern Greek does have stressed syllables though.
Both English (/pɨˈnɛləpi/) and German (/piˈneləpi/) has it sounding like pee-NEHL-uh-pee (or perhaps pih-NEHL-uh-pee for English), with stress on the second syllable and an 'uh' schwa sound on the third.
The Penélopé spelling
The version spelled with the double acute accents might instead be pronounced as "pee-NEHL-uh-peh", with the vowel in the fourth syllable matching the second. Like English, German may sometimes use é to indicate the /e/ vowel in loanwords, borrowing from French. That's also why Pokémon is spelled with the é.
English speakers has a tendency to mispronounce the name as “PEEN-uh-lope" though. Three syllables only, with stress on the first syllable and the final syllable pronounced as though it rhymes with "cantaloupe".
