Genevieve: I don't think people will call your daughter Jenny unless you nickname her that. I think that Genevieve would be more difficult to spell.
Penelope: I think Penelope may be more popular on Nameberry than it is in the real world. I wouldn't worry about Penelope becoming too popular. It sounds great with Leo and contains the same "O" sound as Leo. I wouldn't name my daughter Penelope becaue it looks like "Pen elope". Like a pen is eloping with a piece of paper.
I think that Aurora, Charlotte, Cora, Eleanor, Violet & Leo sound great together!
I have never really liked Penelope, sorry. I think Genevieve is beautiful and lends itself to all the nicknames you like. I'm a teacher and I ask every student if there is something they prefer to be called on the first day of school. Many of my coworkers do the same. I think you could avoid most people calling her Jenny. Like pp mentioned, however, you can't control what other people call her. That shouldn't stop you from using Genevieve though. I think it's. great choice.