I happened upon a Penrose game given on 2022 Mega Database as follows (warning: do NOT add this version of the game to your databases - read on...)
... but they have the date and identity of Black wildly wrong.
Chessgames.com does a little better than ChessBase as they've probably worked out that Jamieson Pryor (a US player) couldn't have played a game of chess in 1980 as he wasn't born until 1985.
But their version is still wrong (until they act upon my submitted correction - to be fair to them, they usually do this very quickly. So by the time you check, they might have fixed it.)
I first came across this game on page 90 of Leonard Barden's
The Guardian Chess Book which was published in 1967, so that refutes the 1980 date. He credits it as "Penrose-W.E.B. Pryor, played in a county match some years ago."
So we have to look earlier to find a date. I thought I had done so, a year or so ago, when I found the pairing J. Penrose vs W.E.B. Pryer (note unusual but correct spelling of Black's surname) in a 1959 county match between Essex and Herts. A reasonable guess but it turns out I was wrong, too. I've just found the game score in the Staffordshire Advertiser for Friday 11 April 1952 in which it says "A curious brevity played at second board in a recent county match between Essex and Herts. White, J. Penrose Black W. E. B. Pryor [sic] Danish Gambit."
Whilst we still don't have a date for the game, it cannot have been played any later than April 1952. And Black was William Ernest Baker Pryer (1902-1993) whom older members of this forum might remember still playing in the 1970s. Here's a better version of the score which you can add to your databases...