Zoos keep some species in freshwater. When I was a kid there would still be ice floes on Lake Superior during summer break, I doubt that is the case anymore. Although in 2014 they had an unusual amount of ice well into late spring.
Food, a place to swim, and suitable breeding grounds are probably all that a penguin needs. And cold temperature is probably not as critical as not too much high temperature. Temperature is possibly a factor during breeding season but I’m no biologist or zoologist. Taking wild guesses here.
