Penelope doesn’t make Bang Bang nervous.
She’s good at reading people, she’s better than Stephen Bloom realised, and she makes him nervous.
There’s The Plan, but he doesn’t have any cherished secrets. Unashamed of his past, willing to admit his faults, and the only thing he’s ever truly cared about (Bloom isn’t a thing) is his intelligence.
Take away his intelligence, and he’d still be a dreaming schemer with too much bravery and an unshakeable love for his brother, but to him, his intelligence is him, not another thing.
Short of infliction of brain damage, Penelope can’t take this away, and she can’t truly use it against him.
Bang Bang follows him around, does whatever he wants, and only the knowledge he doesn’t find sex pleasurable stops her from trying to situate herself in his bed (or between him and a wall or under him on top of a desk or…). She isn’t exactly afraid of him, but she knows there would be consequences she doesn’t want to ever face if she’s put in a situation between saving him and Bloom and chooses the former.
Stephen Bloom may or may not know this, but as long as he never touches her and gives her what she wants, it doesn’t matter.
If he ever does, the chance it wouldn’t be a con is too low, and she’s never been hurt so badly as this would, and she honestly doesn’t know what her reaction might be.
Bloom doesn’t know. If he did, he’d either pin all his hope on being freed from the unhealthy co-dependency on her (like brother, like brother) or try to shoo her away (all he’d have to do is insist, ‘I want her gone, Stephen,’ but she’s not sure if he truly realises this or not).
She’s not ashamed, and unless things get complicated by Bloom being drawn in, she knows exactly how far she’s willing to go to save Stephen Bloom.
This doesn’t mean Penelope couldn’t take him away if she tried (it wouldn’t take much to get Bloom to insist) or find ways to use this knowledge against Bang Bang.
Take away her feelings towards him, and she’d probably be better off, but it doesn’t matter, because, any nervousness she ever has had and will have is directed towards him. He has always been and will always be a bigger threat than someone like Penelope is.
She wonders if this qualifies as irony.