I have been a self-declared Batman fan for most of my life. I believe I have seen all of the live-action movies that ever featured Batman/Bruce Wayne as the central heroic figure (going all the way back to a couple of live-action serials from the 1940s), and I think I've seen the vast majority of the hundreds of episodes of various animated series which have featured him as one of the regulars in the cast (although in some cases it's been a very long time for me), and I believe I've seen each episode of the live-action TV show from the 1960s at least once, and I've read hundreds and hundreds of Batman comic books from various eras of comic book continuity.
In other words: I cannot claim to be familiar with every "Batman story" that's ever been professionally produced in any medium of expression, but I do know a great deal about Batman's history (including various takes on his origin story), and so I feel pretty comfortable making some broad statements about what has or hasn't been been "canonical" (in comics, or TV, or a movie series) at any point in the last several decades.
Here are those general statements:
I do not recall watching an episode of any Batman-themed TV show, whether animated or live-action, which was trying to sell me the idea that Penguin was somehow responsible, in whole or in part, for the deaths of Thomas and Martha Wayne. (Nor have I heard of such an episode from anyone else, in online discussions on Batman forums.)
I am sure that I have never watched any Batman-themed movie, whether animated or live-action, which was trying to sell me the idea that Penguin was somehow responsible, in whole or in part, for the deaths of Thomas and Martha Wayne. (I am more definite on this than I am on the TV episodes, because there are comparatively few Batman movies, and most of them don't even mention "The Penguin" in the script -- and, perhaps more importantly, I believe I've watched all of the Batman movies at one time or another within, say, the past eight years. Where some of his old TV episodes are concerned, I haven't seen 'em since the 1980s, and my memories have gotten much fuzzier.)
I do not recall reading any canonical Batman comic book story which was trying to sell me the idea that Penguin was somehow responsible, in whole or in part, for the deaths of Thomas and Martha Wayne. Nor have I heard of such a story from anyone else who had read a "canonical comic book" which I had missed. (But as I said above, I have not read every Batman comic book ever published.)
But you probably noticed that I carefully inserted the word canonical in Statement #3. That's because my collection includes dozens of Batman-themed comic books with stories that are "Elseworlds" or the functional equivalent. In case you're not familiar with DC's old "Elseworlds" logo, this basically means: "Stories where the writer is amusing himself by inventing his own little version of 'Batman's history,' taking things in directions that have never occurred within the 'mainstream continuity' comic books."
For our purposes, the existence of Elseworlds-style material means it is quite possible that at least one "non-canonical" comic book has suggested a link between Penguin's criminal activities and Batman's parents' deaths -- but even if the suggestion were made, such a story "wouldn't count" as far as any other comic book story (or movie, or TV series) was concerned. To be on the safe side, I checked Wikipedia's article about Oswald Cobblepot, The Penguin, and it appears that something close to what I just described has been published at least once (in a "non-canonical" comic book that I never got around to buying).
Here's an excerpt (with some formatting adjusted by yours truly):
In Batman: Earth One by Geoff Johns and Gary Frank, Oswald Cobblepot
is the corrupt mayor of Gotham City. He attempts to have Thomas Wayne,
the opposing mayoral candidate, killed, but his plan fails. Wayne,
along with his wife, are instead killed in a random mugging on
So, in that storyline, set in its own little world, Oswald Cobblepot was out to get Thomas Wayne -- but it eventually was discovered that it wasn't one of his goons who had fired the fatal shots. By sheer coincidence, someone else got to Thomas Wayne first. I gather that investigating this point, long after the fact, is one of the things that keeps that story's version of Bruce Wayne busy during the plot of the story. As far as I know, that's as close as anyone has ever come to writing a story that declared: "Penguin was to blame for the deaths of Batman's parents!"
Various other explanations for their deaths have been offered at various times, in comic books or in other media. For instance, "it was just a stupid mugger named Joe Chill who panicked and started blazing away," or "Joe Chill was actually a hitman working for a gangster named Lew Moxon," or (only in the 1989 Batman movie) "they were killed by Jack Napier, a young hoodlum who would, many years later, fall into a vat of acid and become 'The Joker.'" I could go into more detail on those and other conflicting answers to the question of "who killed Batman's parents, and why?", but I won't, because right now you only care about a possible Penguin connection!
I see that you said it was conceivable that you and your wife had run across a reference to a Penguin connection in some "non-Batman film." Well, since I haven't seen every non-Batman film in the world, I can't swear that nobody ever wrote a couple of lines of dialogue for a movie screenplay in which one character mistakenly asserted to another that "Penguin was the guy responsible for killing Batman's parents, wasn't he?" I can only say that I've never actually heard of such a thing making it into the final cut of a movie. (Or TV episode.)
So my best guess is that, somewhere along the line, some garbled information seeped into your head, and also into your wife's head, but as to where it came from in the first place, I really couldn't say. (Unless it was somehow a slightly-distorted account of a plot point from that Batman: Earth One comic I mentioned, but you don't think a comic book is likely to be the common cause in this instance.)