You DID update the penelope.py script with the location of marissa? See lines 43 to 56 in the script:
Code:
### Path to working MARISA executables ###
#
# Please modify according to your OS and installation path.
# Remember that each of the following variables
# points directly to the respective executable,
# not to the directory containing it.
#
# Examples:
# MARISA_BUILD_PATH="/home/alberto/.bin/marisa-0.2.0/tools/marisa-build"
# MARISA_BUILD_PATH="C:\kobo\marisa\marisa-build.exe"
#
MARISA_BUILD_PATH="/home/alberto/.bin/marisa-0.2.0/tools/marisa-build"
MARISA_REVERSE_LOOKUP_PATH="/home/alberto/.bin/marisa-0.2.0/tools/marisa-reverse-lookup"
### Path to working MARISA executables ###