All sounds very UL-like to me.
I recall an interview with a zookeeper once about how difficult it was to do anything with penguins - their beaks are sharp, and , as he put it 'those things are solid muscle'. I don't believe you keep get one in your coat without ine hell of a struggle - or abduct a small penguin without parental resistance...
"Like most penguins, the species in New Zealand do not like being handled by humans. The closest thing to being beaten up by a penguin is being grabbed with a pair of needle-nosed pliers and beaten with sandals!"
http://www.penguin.net.nz/faq/faq.html
Googling a bit, you find that this is a story that dates back to at least 1978 with similar motifs recurring repeatedly - damp child, duffle bag, penguin found in tub, etc
From Rodney Dale's The Tumour in the Whale (1978):
The young son of a foaf arrived home from a visit to the Zoo, dumped his duffel-bag, and tucked into a plate of bangers and mash. Whilst trying to elicit from him whether or not he had had a good day, and what he had seen, his mother noticed a movement in his duffel-bag which was lying in the corner of the room. On investigation, the bag was found to contain a baby penguin. The lad denied all knowledge of it -- no, he hadn't picked it up when nobody was looking. So his mother telephoned the Zoo, and found that it still had the full complement of penguins . . . [p. 134]
Yes, the story may well have appeared in a local paper, but that does not make it actually true. We would have to track down details etc - what zoo was it? Apparently zoos regularly get inquiries from journalists about this -and some may have decicded the story was better than the truth...
see also -
http://msgboard.snopes.com/message/ulti ... 0/p/1.html