I suppose I could buy that Penny is a pretty gay nickname. You do know that it is short for Penelope, yes?
Here's a thought, ignore the rabble or tell them you're not as girl if it bothers you that much (or change your screen name, I mean come on, why would anyone call you Penny? Because you like to put pennies on railroad tracks? Because your name is Spencer?).
Sexism does exist in the world, and the mature and hugely romantic norms of gamers does often lead to "Hey, hey, first one to shoot ten bots gets toples pics of ***" and other grotesque taunts I have been privvy too. BUt depending on the gamer and the game, you can escape a lot of that. My avatar is always female, and I never b ring up the subject of real life gender. I've met tons of girls on line as a result (assuming I am a woman I suppose)
No I've never dated any of them, nor do I lie if asked or it does come up. Personally, I am likely never going to encounter these people outside the game environment, so it doesn't really matter in my mind. If we form an online friendship that may be meaningful in some way I'm not going to hide who I am and do understand mistakes. By the time the subject comes up in that situation it doesn't matter, we're already friends.
More people should handle their gaming worlds like that.