In the "real" world she was dirt poor. Her real body had stomach cancer and if she woke up would her life be better? Maybe or not? But Callisto loves her and thats all that really mattered to her. I would say staying would be better cause her other brothers only cared about her AFTER she was sick and she now has a hot husband who will go to the ends of the world for her. And it wasn't a video game it was the real Penelope in both universes preparing her to come back. So she's in the most literal sense she's home where she should be.

I’m sorry I can’t throw away my entire life for a video game character that I met. I know she had an objectively terrible experience in the real world, but the game wasn’t any better.