[[After posting this reply in the wrong section, it finally arrives at the correct destination...]]
I agree with Dolnikan on this one. Like other frontline soldiers, a whole warband of penal legionnaires might be difficult to fit into an Inquisitor narrative. Why, for instance, would they be in the gambling dens of Sceleris Hive, in the heart of the Levitus Subsector, when they shouldn't be allowed out of sight of the Penal Commissars? One or two soldiers here and there as muscle or bodyguards for a more important figure, but a whole warband of them inevitably comes across as a bit dull. They're all basically heavily armed and armoured muscle. All of the characters in an all-soldiers warband will play virually the same way on the tabletop, which is kinda uninteresting and bland. Even if you go with the traditional "rifleman/medic, sniper, heavy weapons guy" combination, you've still basically got "three heavily armoured shooty characters" which, even though they are armed differently, will play the same way on the tabletop.
However, it's not impossible to work something out. For instance, the warband could be a commissar-representative of the Penal Legion administration, who goes from place to place negotiating treaties, terms and agreements on behalf of the Penal Legion. The Commissar in question might have a handful of "trustees" who tag along with him as his chosen bodyguards and aides.
This example is interesting because it sets the scene for some internal conflict. How do the bodyguards feel about the Commissar? How does he treat them? (Personally, if he treated them well, I think it would make for a much more boring story. Todorov famously said that a story without conflict is not a story.) Similarly, the Commissar's desk-jockey aide would probably be a non-combatant, making for a more interesting warband with some nice variation.
You would have the Commissar, in his dress uniform, (to make a good impression with those he negotiates with) a beautifully crafted laspistol and his ceremonial sword, and then a penal legionnaire bodyguard, wearing manacles and an explosive collar, along with a beaten up old lasgun or hellgun (he is protecting a commissar, after all...) and finally, there would be the aide, armed with (probably) his favourite tin teacup... Which he can go all "chronicles of riddick" on you with... I think I like the idea of the little, apparently harmless aide being a psychotic mass-murderer... After all, everyone ends up in the penal legion SOMEHOW....
The reason I'm suggesting a commissar is because a commissar operates within a limited pool of people from which he can recruit his bodyguards and/or staff. An Inquisitor can have the pick of the entire Imperial armed forces. Why would an Inquisitor pick a penal legion for his bodyguards and attendants? What is it about penal legionnaires that he finds so valuable that he's willing to put his trust into a bunch of hardened criminals? I don't know about you, but I think it would have to be something pretty amazing. A commissar, on the other hand, might have no other choice... Particularly if the commissar is a penal legionnaire himself.
To summarise, I'm not saying NOT to base a warband around the idea of a penal legion, but just to make sure that you are careful how you go about it. A warband of just front line soldiers is, for want of a better word, boring. As has already been said, it's a better idea for a kill team or 40k army. Go with something varied, with some interesting relationships between the team members. These are the sorts of things that add depth and humanity to a warband.
I hope that at least some of what I've said is of use to you.
