Tyrion is depressed and suicidal for most of this book, but her innocence serves as a counterpoint to that downward spiral (like a conscience, as you say). My guess is that she will either die or be seriously injured, which will propel Tyrion's character arc. She isn't that well-developed as a character in my opinion, so I think that is her fate, to serve the development of Tyrion's character. I am totally open to hearing arguments to the contrary though.

The truth is, Penny running into Tyrion is so utterly contrived. Westeros and Essos are giant places. The odds of her running into Tyrion are so low that it is rather unbelievable that she happens to end up exactly where he is. Literally she ends up a few dining tables away from him as opposed to any other place in the entire world. It was already coincidental enough when Jorah just happens to be at the same place that Tyrion is. But now the jousting dwarf as well? Will they run into Tysha next?

Personally I love how it points out Tyrion's hypocrisy when it comes to the sexual attraction thing. For all Tyrions moaning about never being desired by beautiful women because he is a dwarf, he sure does not seem too eager to jump in the sack with Penny, his fellow dwarf, for exactly the same reason. You know if she had been a tall blonde Lyseni he would have been all over her in a minute, no matter how childish and innocent she was.