Penny's book, How the Light Gets In, earned a spot on the shortlist in the Best Novel category.
The Mystery Writers of America hand out the annual awards, which are named after Edgar Allen Poe, every spring.
Penny spoke with CBC's Jeanette Kelly this morning after receiving the good news.
"It was frankly the one award that I'd never been nominated for. Every year at this time [the nominations] come out ... and I wait and I wait," said Penny, a former host of CBC Quebec's Radio Noon program.
"I look and I scan for my name and I think 'darn it's not there' and this year I had given up."
Penny said she was at a dentist appointment when her publisher phoned to say she had made the list.
Penny will have to wait for several months to find out if she'll bring home the prize — the Edgar Awards are handed out on May 1.