Now that the Crazy Penelope Saga has come to resolution, I am posting the details in case anyone else has a similar situation.
So, Crazy Penelope was coming around quite regular. She was even getting more comfortable with us milling about the yard. If we got too close though, she would take off. Such a flier!!! Every morning I would put a bowl of food and water out there for her, and she would come out of the woods and eat. I started moving the food closer to the old coop up on the back of our house. I have been leaving that coop door open. Yesterday morning, she didn't come out of the woods to eat. I was concerned, as that has been a pretty regular thing. I found out why later.
As she had been getting pretty bold hanging out in the yard, I had the idea of letting our flock out of the run to let them range about the yard (with strict supervision) to see if CP would join them then just coop up with them when they go in. She is smaller than our other birds, as she is a Japanese Bantam and the flock is all large fowl (approx 10 weeks old and hearty). The event had plenty of sparring, mainly between our #1 hen (Agnes, Barred Rock) and #2 (Naomi, EE). Everyone sort of calmed though, and were pecking about the yard. CP gave one hen (Ada, Speckled Sussex) a pretty hard peck in the head. No bloodshed, but it still wasn't cool and it made me uneasy about the integration. I only even tried it because CP hangs around the run a lot, even under the coop which is only separated from the run by hardware cloth. She would lay and chill with the flock, just on the other side of the wire. When we went to coop up the flock (leading from behind) CP took off to the woods. We decided to just keep up with that method (letting our flock socialize with her) for awhile and see how it goes.
This morning, I put the food out for CP and she didn't show up. I saw her yesterday afternoon and evening, so I knew she was still alive since not showing up the morning before. So odd. I went on with my day. I had to close the door to the old coop to get the truck out to go run errands, so I did and went about my day. Upon coming home, I found Crazy Penelope in the old coop!!! Evidently, she has been sleeping in the nest boxes in there the last couple days. When I come out with the food, she hides. That is why she hasn't been meeting me for breakfast!!!
So there is how CP was caught. I am keeping her in quarantine over there for a while, and will work on integrating her to the flock when I feel it is safe for all.