This question is a little silly, because clearly, all of them were lonely.
Penny was lonely enough in the orphanage (even though she had Rufus), but her kidnapping left her only with her toy bear.
Melody didn't fit in with kids her age, but she has ocean friends. Other kids think she's strange because of that.
Lilo's situation is similar to Melody's. Kids think she's odd, and she befriends an outcast, possibly isolating her more from them.
Vanellope's situation also includes not fitting in. She has her dreams of racing crushed when other racers make fun of her and destroy her car.

Penny had friends at the orphanage so I'd say she's the least lonely. Vanellope has been isolated and treated like a disease.

Penny did mention some kids at the orphanage, didn't she. I didn't think of that until now. Touche.

Touche? How was I being touche?

I thought it meant "Good point" or "Good response." Sorry. :\ What does it mean?

^^^^ haha. yeah touche means "Good point", but I think KataraLover was thinking of the word that replaces the t with a d :P

Actually I was thinking of "touche" as someone who's way too sensitive about something.

Ohhhh! Sorry if I offended you. It wasn't my intent. :)