I think it's because vinter is a kind man and there's a possibility that he will interrogate Yvonne for that and put Penelope at risk also pene can't just tell people something like that because people would be suspicious of her and there are no sufficient evidences as of now only the shattered mirror.
Because she can do the same to winter and everyone around her if she exposes herself like that
Also because she just doesn’t want to get in the middle of all that, she’s trying to help him by giving him a small hint to go off of but she really couldn’t care less (or she just says she doesn’t) about what happens with the goddess lady or anything else, she just wants to leave and not be in the middle of anything that could get her hurt.
i forget if this was explained earlier because i have a shit memory, but why isn’t penelope outright telling vinter that yvonne is the one behind everything, and that she’s mind controlling the people around her??