My issue with the "bluffing" approach is that while I, personally, am unconvinced this the threat is real, whoever this is only has to convince Jaune it's real - and I think Ironwood or whoever won't have much trouble doing that.
Contacting Weiss is a good thought, but we don't actually know enough IC to know she has pull here. Wait until we know enough about Penny and her secret creators to justify it. (Also, OOC, whatever pull Weiss can do on short notice here isn't going to actually be sufficient for Ironwood's pet project. Better to use her help to pick up the pieces later.)
Also, I'm gonna assume Penny is still fucking with our scanning somehow, so don't rely on it too heavily in various plans.