People near Highland Stable have been hearing a voice at night that sounds like Princess Zelda, and Penn asks you to investigate.
Quest Location
After you start the quest Potential Princess Sightings, talk to Penn at Highland Stable, at 0507, -3444, 0047, to start this quest.
Investigate the Voice
At night, talk to Penn at the stable and say "Let's go, partner!" to have Penn lead you to the location. Go to where Penn flew, and there will be a cutscene. Then keep going northwest as you hear the song. You will find Haran Lakefront Well. Go down into the well and there will be a cutscene. This completes the quest.
Quest Reward
Penn's reward depends on how many stories you have investigated. See Potential Princess Sightings for details.
In addition, you can go back into the well and take the weapons that Sagessa put into the buckets.