If you signed up for Challenge-Response you may be able to generate a PennKey Setup Code online by visiting https://galaxy.isc-seo.upenn.edu/ws/challenge-response-reset-password.
When you register for Challenge-Response you are asked to answer personal questions. Later, when you need to reset a forgotten PennKey password, if you can answer the same questions correctly, information is given about how to obtain a PennKey Setup Code without having to go anywhere in person or wait for one to be mailed.