With no record of a James Pennington in either Scotland or England, I've turned my focus on his early American ventures.  We do not know when James came to America as he allegedly claimed to have stowed away on a boat.

So the first known record we have for James Pennington is on the 1850 Federal Census.  He is living with the George Robb family in the town of Ray, Macomb County, Michigan.  George Robb is from Scotland, is a farmer, and is 38 years of age.  Sarah Robb is 18.  And a Richard Shutt, age 21, lives there as well.  

So I looked into this George Robb to determine when he emigrated and why James would be living with him.  I found the passenger manifest for the Francis which sailed from Greenock, Scotland coming to New York on 26 May 1838.  All of the passengers were Scottish.  The Robb family is listed as:

William Robb - 55 agriculturer
Margaret Robb - 50
George Robb - 25
Margaret Robb - 18
Robert Robb - 16
Mary Robb - 14
Anne Robb - 12
Janet Robb - 8

There is no James Pennington listed on said manifest.  However...

Way down on the bottom of the 2-page manifest is found:

James Heidle - 14
Will McGregor - 14

The caption next their names states "found stowed away in the hold."

Is this our James?  Could he have changed his last name?

James Pennington claims to have been born around Glasgow.  He is stating that he is Scottish.  Pennington is NOT a Scottish name.  

Here is my working theory.  James and his buddy Will decided to come to America.  They did not have any money being so young.  They thought to hide aboard the Francis but were discovered.  The Robb family took James in, maybe Will as well.  And this is why James came to be in Macomb County.  There would be no other reason for him to settle here.

This is just theory at this point... but it seems to fit.  I am now going to research this James Hidle (Heidle) and Will McGregor to see if I can find any further leads.