Pronouncing Spanish - start from the beginning (P)

(Note to followers of this series: Watch your Ps and Qs, they're all appearing when they were supposed to but we were so rudely interrupted by impecunity at the letter O, so you might want to go back there...) This letter, however, is not pronounced any differently to its English equivalent. But for amusement's sake, here's a related thing: Penélope Cruz's nickname is Pe, just as the letter sounds. Why isn't it Pene, which sounds more like the English diminutive Penny? Look up the word in your dictionary, we're too embarrassed...