Now, when season 2 ended, you get a glimse of a ship in the Antarctic scanning for electromagnetism, when they find whatever they are looking for. They alert Penelope who aknowledges this find.

Naomi had a photo of Penny and Desmond, which leads us to believe at first she was looking for Desmond. But another theory is that Naomi had the photo because she was hired by Penny and the rest of the company to find the island.

Penny tapped into the feed in the Looking Glass station. It is possible that she was looking for that station.

And finally, her father is most suspected of being part of this company, so it makes sense she would be part of it too.