I agree that this wasn’t very clear but this is what I think happened.
I think that Penelope either assumed this via Jorge (her brother) or Miquel may have actually told her to keep her from reaching out to Julian for the same reason Miquel went to the train station and didn’t tell Julian what happened with Penelope (that she was boarded up in her room). I think it is the former because she was never allowed to leave her room and all communication to and from her was cut off.
For completeness I wanted to post both letters:
Nuria’s Chapter 2
Here we see Miquel’s love for Carax: Miquel sent money books and friendship. Julian would mail letters to Penelope via Miquel which Miquel did mail from different post offices but knew it was useless. Again, this is why I don’t think Miquel actually told anything to Penelope directly.
Miquel from Jacinta that she was locked and never left. Again evidence that Miquel and Penelope did not speak after the incident. Jorge Aldaya gave the fake letter for Julian via Miquel which was a sheet of paper handwritten by Penelope stating:
I am writing to notify you of my forthcoming marriage and to entreat you not to write to me anymore. To forget me and rebuild your life. I don’t bear you any grudge but I wouldn’t be honest if I didn’t confess to you that I have never loved you and never will be able to love you. I wish you the best wherever you may be.
Miquel didn't believe she wrote it willingly because Penelope knew he was in Paris but the letter indicated that she didn’t know where he was. Miquel didn’t send the letter to Julian because he didn’t want to hurt Julian.
Laura, a servant, was dismissed when it was discovered that she secretly posted a letter from Penelope to Julian. Miquel deduced that the only address she would send it to is his parents’ hoping that it would reach Julian. Miquel went to get the letter from Sophie Carax (Julian’s mother) who he found out no longer lived there. Then he wanted to speak to the Hatter who said he “has no son.” Miquel left without knowing if it would end up in the hands of the caretaker and Julian never received the letter which Daniel found Chapter 15-16.
The real letter written by Penelope Aldaya, discussed at the end of Chapter 16:
18 October 1919
This morning I found out through Jorge that you did in fact leave Barcelona to go in pursuit of your dreams. I always feared that those dreams would never allowed you to be mine or anyone else’s. I would have liked to see you one last time to be able to look into your eyes and tell you things that I don’t know how to say in a letter. Nothing came out the way we had planned. I know you too well and I know you won’t write to me. That you won’t even send me your address, that you will want to be another person. I know you will hate me for not having been there as I had promised. That you will think I failed you. That I didn’t have the courage. I have imagined you so many times alone on that train convinced that I had betrayed you. Many times I tried to find you through Miquel but he told me that you didn’t want to have anything more to do with me. What lies did they tell you Julian? What did they say about me? Why did you believe them? Now I know I have already lost you. I have lost everything. Even so, I can’t let you go forever and allow you to forget me without letting you know that I don’t bear you any grudge. That I knew it from the start, I knew that I was going to loose you and that you would never see in me what I see in you. I want you to know that I loved you from the very first day, and that I still love you now more than ever, even if you don’t want me to.
I am writing to you in secret without anyone knowing. Jorge has sworn that if he sees you again he’ll kill you. I am not allowed to go out of the house anymore, I can’t even look out of the window. I don’t think they’ll ever forgive me. Someone I trust has promised to mail this letter to you. I won’t mention the name so as not to compromise the person in question. I don’t know whether my words will reach you, but if they do, and should you decide to return to fetch me here, I know you will find a way to do it. As I write, I imagine you in that train full of dreams and with your soul broken by betrayal, fleeing from us all and from yourself. There are so many things I cannot tell you Julian, things we never knew and it’s better you should never know. All I wish for you is to be happy Julian. That everything you aspire to achieve may come true and that, although you may forget me in the course of time, one day you may finally understand how much I loved you.