Why is she here?

She turned to look at her family; the disappointment that she was feeling towards them was weighing heavily on her heart. Penelope said to her family, "Look at you all; he is insulting me by saying such words, and you are still not stopping him. Will you only stop him when he's finished killing me? No matter what, I am your daughter too! You raised me." 

Theodore didn't wish to take a side, but he also knew Nicolai well enough to understand that he was the kind of man who would not make a move unless he had investigated things thoroughly. 

Instead of consoling his daughter, he said to her, "Penny, if you have done what Nicolai just said that you have, then as long as you confess, I promise that I will not punish you too heavily." He tried to bait her.

But Penelope was not foolish; she knew that her father was lying. She knew that as soon as she confessed the truth, the entire Ashford family would look at her as if she were their enemy.