I'm not aware of any current ones, but I know that plenty of zoos historically kept their sub-Antarctic penguins outside. Baltimore, for example, used to have rockhoppers (and, very briefly, Adelie's) on exhibit with their African penguins in the old Rock Island exhibit. I want to say Oregon Zoo used to have an outdoor king penguin exhibit years ago before it was replaced with their current exhibit.
The ability to be kept outdoors for a large portion of the year, combined with the fact that they were just a heck of a lot easier to collect, is a large part of the reason that African penguins became so prevalent in US zoos.