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Expedia doesn't have any hotels in or around Penza itself.
If you want to stay in this part of Russia, Volgograd could be a good option. It is 310 miles away from Penza. Volgograd accommodations include the Yuzhniy Hotel and Hampton by Hilton Volgograd Profsoyuznaya.
After you have spent time in Penza, why not explore a bit more of the area? The Volga area has a number of attractions waiting to be explored. Volga has forests and rivers. Commonly visited Volga tourist destinations are traditional villages and old towns. Popular activities in this particular part of Russia include skiing and cross-country skiing.
Expedia's travel guide is also a good way to learn more about Penza.