At first glance, Balthier and Penelo seem like an unlikely pairing. Before playing the game I never imagined I would take an interest in them as a couple. They don't really have much interaction in the game, but I think there is some significance in what little they have.

The two first meet when Vaan, Balthier, and Fran were arrested and being taken to the prison. Penelo calls out to Vaan and attempts to run over to him. Balthier stops her and gives her his handkerchief, telling her to hold onto it until he brings Vaan back. Now, their are several important things to note about this scene. First of all, Balthier stopped her from going to Vaan. This is probably because, as a former Judge, he knows how the soldiers do things. Perhaps he knew that if she continued to make a scene, she would be hurt or arrested herself. Obviously, he wanted to stop her before anything bad happened. Second of all, he gave her his handkerchief and promised to bring Vaan back. This was his way of comforting her and letting her know that he wouldn't let Vaan be hurt. I found this scene very sweet, because he treated her with such kindness even thoug he'd never met her before. Penelo's reaction is also cute. She calmed down immediately and decided to trust this unknown man to bring Vaan back.

Later, Penelo is kidnapped by Ba’Gamnan and his gang, who mistakenly assume that she is connected to Balthier. Vaan asks Balthier to take him to Bhujerba to save Penelo. It's important to note that Vaan only asks Balther to get him to Bhujerba, and he would rescue Penelo himself. But once they arrive, Balthier indeed helps Vaan to find her. Why? I guess we'll never know. We later see a scene of Penelo telling her captors that she barely knows Balthier. They inform her that he's on his way there, and Penelo is clearly surprised, wondering why he would come for her when they've only just met. She didn't know that Vaan was with him, so I'm sure a million thoughts had to be running through her mind. It's possible that she may have begun to think he was interested in her. And that line of thinking could lead her to take more of an interest in him.

After Penelo joins back up with the group, she somewhat shyly approaches Balthier to return the handkerchief to him. When she does, he takes it and places it in his vest, near his chest and says "I shall wear it close to my heart." What makes this scene cuter is that Vaan is scene watching them, and he looks a little annoyed (perhaps he's jealous?). I think it's clear that Balthier is flirting a little with Penelo here. How serious he is about it is up for debate. Maybe he's just having a little fun with her. Maybe he genuinely finds her cute and has taken an interest. It's also evident that Penelo has an interest in him, whether it be a crush or simply admiration.

Throughout the rest of the game, they don't have much direct contact. However, I noticed that almost every time Balthier was talking to the group in a cut scene, Penelo was seen watching him intently, seemingly hanging on every word. It's also worth nothing that Penelo hangs around Fran a lot, asking her lots of questions and learning from her. I think it's likely that Penelo wanted to be more like Fran. Perhaps Penelo views Fran as someone close to Balthier, someone he admires and respects. So maybe that had something to do with her becoming Fran's "pupil"? Just a thought.

I admit that this pairing has little in-game evidence, but it's extremely likely that Penelo has a crush on Balthier. And given his attitude toward her, I see no reason why he couldn't develop feelings for her as well.