What Should I Do About Me & My Family's Odd Names?

The only thing you can do is change your name when you turn 18, but I wouldn't Penelope is a nice name and you could just go by Ann - nice and 'normal'. Your siblings' names aren't terribly odd. Anyone who makes fun of you because of your family's names must have problems of their own and are trying to make themselves look better by trying to make you look bad. Be the bigger person and don't let them get to you!