I'd seen that website and contract where Jim gave 51% of the characters to your grandfather, and was confused. At the time I didn't realize it was the rights to the characters, I thought it was for a portion of the Muppets (as in all characters and the company, even though Jim didn't officially form his company until 1958).
This is the first I'd heard of Penelope. I thought that Longhorn, Shorthorn, and Pierre the French Rat were the only puppets on The Junior Morning Show.
Recently I saw a picture of Pierre the French Rat with an early character I hadn't seen before, and wondered if this could have been longhorn or shorthorn. The picture was at Jim Henson's Red Book, and the photo caption only referred to the character as "a friend", so I guess the people at Henson don't even know. Here's the link:
http://www.henson.com/jimsredbook/2013/06/01/6-1954-2/
I wonder if The Jim Henson Company Archives even has photos of Longhorn and Shorthorn, even if they can't release them due to only partial ownership. The company continues to put images of the Disney-owned Muppets and Sesame Workshop-owned Sesame Street Muppets on the Red Book website, so legalties shouldn't be an issue there.