while I was untacking her Penelope got too close (she was nudging her butt and chewing on the blanket) so June nipped her
June was doing your job for you, and that's not fair to her. At 7 years old, Penelope is still young and clearly very insecure, so she may not know any better, but she should not be trying to interact with a horse that is being worked. June shouldn't have to choose between listening to you and dealing with another horse. I don't care if the horses are friends or not, when you are among them, their attention should be focused on you, not each other. What Penelope was doing wasn't cute or funny, it was potentially dangerous for you. That wasn't "super comfortable with everything," Penelope was testing the boundaries, and you should have corrected her by getting her out of your space (which in this case, included June). Remember, Penelope is the new horse, and one in very poor shape; this is your best time to get across to her that you are in charge. It's soooo easy to feel sorry for her and indulge her because of her poor condition, but if you don't want to be dealing with a pushy horse, you will nip this behavior now.
This is important - whether you ever try ponying one off the other or not, there are a lot of situations where you may have to deal with both of them (you may need to lead both of them somewhere, or just get one through a gate without the other), and you can't have them squabbling or playing with each other with you in the middle. Each needs to have enough respect for you to ignore the other animal and focus on what you are telling them to do. When they are on their own time, they can work out their dominance issues or whatever, but when they are on your time, they need to pay attention to you.
And I'm sure the rescue told you this, but don't get too impatient to see the weight come back on Penelope. It should take at least 3-4 months to get her back to good weight. Slow weight gain is safe; you can do her real harm by feeding her too much and trying to get the weight back too fast; at least to begin with.