I lovve
Penelope, I wouldn't change that, but
Paisley?! What an awful name! No offence to your step-brother and wife. On top of that, I hate matching twin names, so the two P names aren't so great together. From the other names they like, I think
Delilah would fit best,
Penelope and
Delilah. If they were my own twins, I would name them
Penelope and
Juliet.
Some combo ideas:
Penelope DawnPenelope JunePenelope GracePenelope LouisaPenelope LuciaPenelope VioletPenelope RosePenelope HopePenelope Faith
Delilah GreerDelilah BlytheDelilah HollyDelilah RoseDelilah ValentinaDelilah Vivian
I'd name them
Penelope June and
Delilah Rose,
Penny and Lilah