Apparently, this dog is named after cheap fiction magazines printed in the 1950s and often dealing with "lurid and sensational subjects." It's amazing what you can learn from Dictionary.com.
Him: "We met this li'l pup in October."
Her: "She was found in Allentown and we think she's part Jack Russell and Chihuahua. Her name is Penny Dreadful."
Me: "Penny Dreadful? What kind of name is Penny Dreadful?"
Him: "I like pulp fiction, and penny dreadfuls are the British version."
These are the stories of the people of Easton, PA