I would likely do the following:
Stay calm and keep the fridge door closed to maintain the temperature for the penguin.
Call the local animal authorities, zoo, or wildlife organization and ask for help. Explain that I have found a penguin in the fridge and need guidance to care for it until they can pick it up correctly.
Ensure the penguin has enough space, food, water, and proper temperature/environment. Monitor it regularly until wildlife experts arrive to evaluate and transport it.
Once the penguin is removed, deep clean and disinfect the fridge before using it again for food storage.