Do you guys believe that in a parallel world/universe the penguins exsist in real life?

The answer would be yes and no about whether the penguins (or any imaginary character) would be able to travel to our dimension. The problem is that the penguins don't even know nor think about that there is a dimension that watches their dimension. If they would know that, they would attempt to enter our dimension.

Even if there is an episode depicting inter-dimensional travel, the dimension traveled to would be a sub-dimension within the same dimension as before. Yet, at the same time, they also could travel directly to our dimension without dealing with sub-dimensions.

This is a dual-natured question. And no fictional character has ever knowingly made it to earth from their tahanan dimension.

And since the PoM dimension is created sa pamamagitan ng imagination, perhaps there can be a link between that and another imaginative dimension, such as a dream (which has to be congruent with a true dimension, even if it's unimaginable sa pamamagitan ng the human mind).

wel, if you read my most kamakailan story, One Heck of a Town, i have them exist in this universe, but i do, too

I dunno, it's plausible.