Zoo penguins generally are suspectible to respiratory diseases, esp. aspergillosis. Most species thrive only in rooms which are cooled, and perhaps more importantly - have filtered air. I guess not many in UK. Even in mainland Europe, many such rooms are too small and suffer from construction mistakes (e.g. Berlin has floor cooling which kills eggs of king penguins).
I am aware of the problem with aspergillosis (which sometimes rears its ugly head due to the unsavoury conditions of nest boxes and artificial burrows), but most (all?) penguin colonies in the UK are kept outside. This was why the avian malaria was such a problem to contain.