Penygil is an invented name based on elements found in Yorkshire place names.
"Pen-y" is found in the name of one of the three peaks: Penyghent and means "hill of". It is probably one of the few surviving elements from the native Celtic language, Cumric (cf the Welsh).
"Gil" is Norse meaning "a stream" and occurs, often spelt "gill" in many place names (e.g. Gaping Gill). The spelling "gyhll" has been adopted by some but it appears to have been invented by Wordsworth so I have opted for the original Norse spelling.
Putting together elements from two languages is not unknown in British placenames: the most common examples being two words with the same meaning e.g. River Avon, River Ouse!