You find Penn on top of Dueling Peaks Stable, looking for clues to the rumor that the Yiga kidnapped Zelda.
Quest Location
Penn is on top of Dueling Peaks Stable. He may only be there at night. Talk to him to start the quest.
How to Complete the Quest
On top of the southern peak of the Dueling Peaks mountains, there is a valley in the middle. Go there and you will find Zelda in a cage. Use Ultrahand to lift up the cage, and the impostor will attack, along with two other Yiga Footsoldiers. Defeat them to proceed. Afterward, Penn will meet up with you and give you your reward.
Quest Reward
Penn's reward depends on how many stories you have investigated. See Potential Princess Sightings for details.