It fits in with my army fluff (they aren't Penal Legion in the fluff, they just recruited soldiers from a local hive city they liberated), which I won't post here for fear of breaking the screen (I wrote a 5 page long background "book" for tournaments.)
But basically, my main army is Cadians, and I use Catachans for penal legion. Just make sure to give them lots of knives and scars. You could even paint their clothes orange, to push the idea even more.