That avian critter is nowadays called Penta or Pentarou, but all contemporary Konami publications refer to him Pengin (Penguin) Kun or simply Pengin. Pentarou was first attested in 1990 on arcade Parodius, Penta in 1991 on NES Yume Penguin Monogatari. More about retcon
I want to make a comprehensive list so please tell me any missing penguin. The classifications might overlap.
1. Protagonist: Antarctic Adventure, Penguin Adventure
2. One of the playable characters: Parodius, Hai no Majutsushi
3. Background: Uranai Sensation (guide. Might be considered 2.), Parodius (enemies), Ping Pong (title from 0:06, audience from 0:20), Game Collection 1/2/3/4 (main menu), Snatcher (Oleen Hospital patient from 19:27), Hyper Sports 2 (appears by sequential good score)
