Usually horses who only pick up one lead do this because they are more stiff and unbalanced in one direction. So what I would suggest is for you to work on bending exercises with her. Do it in both directions, especially right rein. Do serpentines, circles, broken lines, and figure 8's. Before you begin, however, sit deep and back her up a few steps. This will encourage her to even out here weight so that she is not heavy on the forehand. This will make her easier to steer.
Next, try some easy bending warm-ups. Start at a walk and go through the movements slowly. Each time you go around a corner or turn, use your inside rein and inside leg to bend her, as well as your hips. (Using your hips is very important for subtle and efficient steering. In fact, I once rode a horse whom it was possible to steer completely by one's hips and a small amount of leg)
Once you can successfully complete these exercises at a walk, progress to a trot. Continue to keep that nice, supple bend. Remember to always have your inside leg ready to support her around the corners and your outside leg ready to aid her if she starts to fall outwards. Once you can do nice bends in a trot, try it at a canter. This will be the tricky part. Practice makes perfect, though. Remember to practice in both directions, ESPECIALLY right rein.
After you and Penny have done some of these exercises, set up a pole. Ride over it at a canter without 2-pointing. As she goes over, loosen up the inside rein and nudge her with your outside leg. If she can easily get over on the right lead, give her lot's of pats. If not, try again, this time keeping your outside leg quite firmly squeezing as you go over to encourage her to pick up the right lead.
If you can do this, try canter over the pole in 2-point position. Remember to use your outside leg to help her land on the right lead. If you can do that, try over a small 'x'. You'll may start to have problems when you get to this point. Just make sure to open up the inside rein and use a lot of outside leg the entire time
. This means to use your outside leg as you ride up to the jump, while you are in the air, and when you land. Practice, practice, practice. Eventually you'll get it. Make sure to be patient with her.
I do not think Penny will be able to do nice flying changes yet. If she can only pick up one lead automatically, she is not balanced or trained enough to take on this new challenge. I would suggest to work on the things I listed above, and once she can get the proper lead over a jump, ask your instructor about it. She may have been previously trained to do it, however I'd still suggest working on bending and balance first.
Good luck! Hope I was helpful.