There were recurrent subtle implications of something between Vaan and Penelo throughout the original game, so I'd take it as a given that she fancies him. And vice versa, even if he doesn't realise it.

Loads of NPCs mention it, including a Viera making reference to the one Vaan's heart truly belongs to, or words to that effect.

Like most of the deep character stuff in FFXII, it's kept subtle rather than shoved into your face like the earlier games had taken to doing. I rather like it, actually.