I read
somewhere that penguins could me made of children made invisible by the Child Broiler. It would explain why they are invisible.
In Episode 9, the conveyor that ships penguins bears the same symbols that the one sending children to the machine in the Child Broiler in Episode 19.
snapshots :
http://mawarupenguindrum.com/wp-cont...snap-00083.png
http://mawarupenguindrum.com/wp-cont...8_01.31.12.jpg