There are a couple of old threads in this forum that could help you if you want to go with Penelope and you are open to other names. Here is one http://nameberry.com/nametalk/thread...-with-Penelope. If you prefer to stick with the choices you listed, my vote is for Penelope and Arielle.
I wished to vote for Aurelia and juliet.
I think Penelope and Aurelia are actually quite nice together. They do feel a bit mismatched at first, but they're both names stemming from classical antiquity - Penelope being Green and Aurelia being Roman. I think this is a fabulous unifying factor. Aurelia and Juliet would also sort of have this connection, as Juliet stems from Julia, which is an ancient Roman name.
I'm not sure about Juliet and Arielle - they definitely go together style wise, but I don't like that one of them is written out in its French (i.e., Arielle vs. Ariel) form while the other is in its shorter form (i.e. Juliet v Juliette). I feel as though Juliette and Arielle or Juliet and Ariel would be better matched. Aurelia and Anastasia work stylistically, but they may be a bit matchy. Penelope and Arielle feel mismatched to me. Penelope and Ariel might fit better?
I am also expecting twins in August!:) I think Penelope and Juliet would be the most amazing sister set ever! I love all the other combos but Penny and Jules or Nellie and Jules are just so adorable and now I wish I was having twin girls. LOL:) I really like all the combos I just wish Penelope and Juliet were together haha:)
I like Arielle (Elle/Riley) but to me it doesn't go too well with Penelope. Juliet (Jewles)is lovely but it just feels like you need a boy called Romeo with it. Aurelia and Anastasia feel a little matchy to me.
I LOVE Penelope & Aurelia (Piper/Penny & Riley). I love Penelope & Anastasia also (Piper & Anna/Stacey).
I like Imogen & Tallulah (Genny & Tallie/Lulah) also. Tallulah & Aurelia (Tallie/Lulah & Riley) sound cute or Imogen & Juliet (Genny & Julie/Jewles). - Clementine & Wilhelmina (Emmy & Winnie) feel slightly too old for me but if you like them they are nice names. - I do Love Emmy & Winnie as NN's though.
I voted Penelope and Aurelia (Piper and Riley are cute :) I think though if Penelope and Anastasia was a choice I probably would have voted for that pair as Theodore and Penelope are both of Greek origin and I'd rather see a third of Greek Origin too (that's being picky though :)... Penelope and Anastasia (Nellie and Taisy/Nell and Ana) or perhaps Perhaps:
Penelope and Marguerite (Poppy and Maisie are cute)
Penelope and Ophelia are beautiful too (can't think of a good nn for Ophelia though...Pepper and Opal?)
Penelope and Delphine (Pippa and Delphi or Pip and Elfie)
Penelope and Isadora (Lola and Sadie)
I love Arielle, Aurelia, and Penelope! With Theodore, I think Aurelia and Penelope work best, but I'm finding it hard to let Arielle go. Honestly, though, I don't think you could go wrong with any of your options. I think Theodore, Juliet, and Penelope would work really well together, too, but I like Arielle and Aurelia much better than Juliet, personally. :)