Fidgel has a human girlfriend.In "Comedy of Errors", Michelle and the Penguins have embarrassing secrets. Fidgel is the only one who didn't tell his embarrassing secret because him having a human girlfriend would be too shocking to the others.
The kids are daydreaming.In the early episodes, the things that happen to the kids, the places they go, etc. are almost always related in some way to the things they had been discussing/experiencing on Earth. Plus, in the later episodes, they go on the missions together.
The kids aren't daydreaming.The Penguins always sound exactly the same no matter who's going with them, plus the second episode features so many Call Backs to the first one that Michelle couldn't possibly have daydreamed unless Jason told her exactly what happened to him.
Penguins live longer than humans.In "Wise Guys", Future Fidgel comments that the Penguin crew is seven decades late. It can be assumed the Penguins are in their thirties, so if you add seventy years to that, the Penguin's future selves would be like a hundred or something. Think about it, the Penguins' future selves look younger than a hundred.
The Lizard King and Wild Bill are related.They look pretty much the same. One can mistake Wild Bill for the Lizard King.
The kids live in Pennsylvania.The Poconos is a mountain region in this state, and if their parents are going on vacation, they would never drop them off with a relative that lived really far away.
Earth is considered a wildlife reservation by the Federation.They frequently modify images of space we've acquired from probes so it looks like we're alone. Why? It's probably because everyone here is so eager to preform an autopsy on any visitor from outside of our atmosphere, if you know what that means.
This show takes place in the same universe as Star Wars.In one episode, Fidgel says there seems to be some disturbance in the Force. This may be just a Shout-Out, but there seems to be other possibilities.