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The Penick Family by Lyman Priest states that "John was said to have been married twice, the second time to Mary Mallory, daughter of Thomas Mallory, although no evidence of more than one marriage has been found (Catherine Lindsay Knorr, Marriage Bonds and Ministers' Returns of Prince Edward County, Virginia, 1754-1850. [Pine Bluff, Ark., 1950], p. 61). Mary was born probably in Hanover County, Va., about 1730; she died in Prince Edward County, Va., before 17 October 1803, when her will was probated."
Since his source is from Prince Edward County, VA, I would assume she was married in Prince Edward County, VA. Let me know if I can help you further.