You're correct in that Ann Coldiron (who married Aaron Pennington) is not in the Coldiron Genealogy book (Descendants of Johan Georg Kalteisen). We've been working for years without success to solve the mystery of her ancestry. I have formed a few speculative opinions about her possible ancestry, and they are included in my 29 August response to Ruth Lewis' 24 August query which appears in this forum below.
Is it possible Ann is of Spanish descent? I guess almost anything is possible, but I strongly doubt it. Even though there is considerable forklore about Coldiron being Spanish (with the assertion that the name is derived from the Spanish caldron) I have found no valid basis for this assertion. In 28 years of research, we have never traced a Coldiron descendant to Spanish origin. And a corollay to that -- every Coldiron descendent we have been able to trace (now around 8,000) connects to Johan Georg Kalteisen. We have never discovered a Coldiron outside of JGK's descendants. The English name Coldiron is anglicized from the German name Kalteisen. JGK changed his name to George Coldiron about 1765/1766, shortly before moving his family to N. Carolina from Berks Co., PA. All of his children took the Coldiron surname. The only other known Kalteisen in America, Michael Kalteisen of Charleston SC, also briefly used the name Coldiron in the late 1700's in the company name in which he was a partner. We have yet to discover a relationship between Michael and JGK.
Since the research has not turned up evidence to document Ann's ancestry, I have come to believe our best bet is continual research of her descendant families in hope that someone, somewhere along the way, wrote down the family ancestry and preserved it. It's about the last straw I know to grasp.