There is no special word for a male penguin. However, it is technically possible to refer to a male penguin as a "cock," which is the conventional term for males of any bird species. Likewise, "hen" can be used to refer to a female penguin.
Using the words "cock" and "hen" to refer male and female penguins is less common in part because this terminology is primarily used for gallinaceous birds; gallinaceous birds include domestic poultry, such as chickens, turkeys and game birds, such as pheasants and grouse. Additionally, the difference in appearance between males and females in most penguin species is subtle, making terminology that explicitly delineates the two sexes much less useful.