What did Penelope (Rachel Weisz) say to the police chief in The Brothers Bloom after she was caught in the castle in Prague so that he let her go?
Or was this ever explained in the movie?
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This was not answered in the movie, and was not meant to be answered...I think it's just supposed to be a moment where she mysteriously wows the brothers and Bang Bang: normally they're the ones with the plan, but she manages to mystify and amaze them (and the audience) with her escape. An explanation would cheapen the intrigue of "how the heck did she manage that?!"
If I had to hazard a guess, I would say she pretended to be a museum employee who, when the museum was threatened, was making every effort possible to preserve a historic artifact and escape the attack. But that's just a guess. :)