Never been to Pennhurst specifically but I've had that exact feeling at a few old estate buildings round the Midlands - that heavy, almost pressured feeling like the air itself is different. Hard to describe without sounding daft.
The caretaker/groundskeeper buildings always interest me more than the main house tbh. They were lived in constantly, same person for decades sometimes, that kind of residual energy has to go somewhere doesn't it. I've noticed EMF spikes near old service buildings a few times that you just don't get in the showier parts of an estate.
What were the specific sensations you noticed? Was it localised to one spot or did it follow you as you moved around the outside of the building? That distinction matters quite a bit when you're trying to work out whether your picking something up or whether its an environmental factor like underground water or old pipework.
Would love to hear if anyone else has visited. Staffordshire here so not a million miles away, might consider a trip if theres enough to go on.