I'm guess that yours is style 9713 since that's the only Penelope I can think of with a clochette? (
Coach usually calls them "key hoods" since that describes the purpose more clearly.)
Normally you just put the strap behind one of the purse straps or through one of the strap's hardware rings, put the "hood" end through the loop, and snug it up. Here's a picture of a Scribble Satchel showing how it's supposed to look.
Looking at your picture though it looks like there's only a very small loop on the end, it doesn't look like the Penelope's is the same kind of strap as what they used on the Scribbles. If that strap isn't the same kind as on the Scribble then I don't know how it goes on either. Is yours actually a single-layer strap with a small closed loop? The only photo I have from Coach's website of your style doesn't show how it's attached. And the catalog doesn't show the key hood at all even though it mentions it in the description.
If the key hood strap is only a single thickness you might have to remove the key ring, pull the hood off, thread the end where the key ring goes through the loop, then put the key ring end back through the hood and reattach the key ring.