In the end, Jack is the only one left alive. Penny rescues him again, but with a different ship (Our Mutual Friend, and Jack wishes he could be kinder in telling her about Desmond). There are no happy reunions this time, but neither is there hope. Jack can tell by the look on her face that she knew she couldn't get lucky twice. All she asks is how, but he cannot even give her that. He doesn't know, and even if he did, his own grief outweighs hers, at least for now. He does know that he must stay missing, and she understands. After all, she is Charles Widmore's daughter.
This is how Jack ends up living with another woman who's in love with another, missing man, and a child that is not his to raise. At first, he and Penny barely interact. They grieve, separately, and they do the chores in a stupor, and she listlessly takes care of Charlie. Every time she says his name it is a stab to Jack's heart, another person who should be alive instead of him.
But it is Charlie who pulls them out of their despair. Charlie needs a mother to love him, and a father to replace the one he's beginning to forget. Charlie knows nothing of grief (yet), and he possesses the boundless energy of a three year old that wears out both Jack and Penny before supper. Slowly, Jack and Penny begin to become a unit, instead of separate entities. They need each other. He can never be Desmond, and she and Charlie will never be Kate and Aaron, but that's all right. It's enough. It has to be.
The day Charlie calls him Daddy for the first time, Jack beams, and swings Charlie up into his arms, both of them laughing. Penny watches from the bow, with a smile on her face and tears in her eyes. Jack looks over at her, as if to check that this is okay, that this is what she wants, and she nods, slowly. This is the family she has, if not the one she originally wanted, and she is fortunate. After Jack has put Charlie to bed, they sit on the edge of the boat, feet in the water, holding hands and saying nothing, and everything.
"We'll dock in Malta tomorrow." Jack says. Do you want me to leave is what he doesn't say. Is this too much is what he's really asking.
"I've made a list of what we need," she says. "There should be time left to explore the island." Stay here with me, she doesn't say. I need you. We need you.
His only response is to kiss her, and she knows he understands. She kisses back, and before she knows it, they're on her bed, trying not to wake Charlie, and has it always been this cramped down here?
Afterwards, she lies there in his arms, and he tells her everything he knows, and they bury Desmond and Kate in the waters below.
Jack buys her a silver ring in Malta, and nine months later, Desmond Shepherd is born. Charlie asks to hold the baby, and as Jack helps him support the head, Penny can't believe that she ever wanted something different.