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Bretons are badasses too, kthx
Case in point: Delphine and Mercer.
Also, what makes me think Penelope is the Dragonborn is the fact that there "may be spoilers for the main story".
Needless to say, I wholly approve/concur! Even though I don't much care for Delphine's attitude, she does get things done. Mercer --> Exemplary Breton Badass
But she can't leave Skyrim! The game won't let her!
Of course, I know what you're doing - maybe she'll be joining the Legion as an excuse to not need to leave Skyrim? I mean, the Stormcloaks aren't really operating outside of it....
But you need to get her back to Riften - Brynjolf thinks she's dead!
Damn you for being a better writer than me.