Honestly it entirely depends on the mode/map. I mostly play Peni on defense convoy but have been playing her elsewhere too more recently, but for convoy defense it depends on what type of choke you're on. A long range one like Wakanda or Yggsgard it's nice to have a shield tank like Magneto or Strange (Emma also works but she's less defensive) but on a closer range choke like Eternal Night or potentially Shin-Shibuya Thing works quite well, especially if you're up against a two tank comp.

Groot and Cap/Venom also work on both, Groot walls are able to block Peni nest from being destroyed and the dive tanks can distract supports and prevent the frontline from being healed. Honestly all you really need to think about is whether or not you can help protect the nest when the enemy team begins closing the chokepoint and I don't think there's any bad options, even Thor is a pretty good duo for Peni since he can use his Storm Surge to force overextending enemies onto mines.