The win gave Italy an unassailable 3-1 lead in the match following victories for Pennetta and reigning French Open champion Francesca Shiavone in Saturday's opening day of the best-of-five, two-day tournament.
Melanie Oudin kept the United States alive with a 6-3, 6-1 singles victory earlier Sunday over Schiavone but it was the second consecutive year the Italians have routed the Americans who were once again without the Williams sisters, Serena and Venus.
"I was nervous but there was not panic," said Pennetta, who has won eight consecutive Fed Cup matches. "I really enjoy to play for my country and this team."
Pennetta won two matches during the weekend while Vandeweghe lost twice.
"A team like that in five years to win three Fed Cups and one final is a great team, a fantastic team," said Italian captain Corrado Barazzutti. "They are great players in the individual tournament, too."
With Williams sisters skipping the event with injuries, the US was forced to send an inexperienced team to try to avenge their loss to Italy in last year's final. The Americans haven't won the title since 2000.
Pennetta won six straight games in the first set after Vandeweghe broke serve in the first game.
"She was just too nervous after like the second game, when I won in 14 or 15 minutes, a really long game," Pennetta said of her opponent. "But since then I starting to play really aggressive. I was really consistent. I didn't make a lot of mistakes, I was moving her a lot."
In the first set, Vandeweghe made 27 unforced errors compared to just 11 for Pennetta, who ran away with the match in the second set, silencing the pro American crowd at the San Diego Sports Arena.
"I'm very disappointed in myself and the way that it turned out," said Vandeweghe, who is ranked 114th in the world about 100 places lower than her two opponents. "But I tried my best out there, fought as hard as I could.
"It's a tough situation I'm going into."
Oudin was originally selected only for doubles in the tie on indoor courts.
World No. 60 Bethanie Mattek-Sands battled cramps and illness in her singles loss to Pennetta on Saturday, and US captain Mary Joe Fernandez called in Oudin as her replacement.
Oudin, 19, had never taken a set off Schiavone, ranked seventh in the world, in two prior meetings.
Oudin finished off the match with an ace, although she had to wait an agonizing moment as Schiavone challenged the call.
She had broken Schiavone to love in the second game of the set to seize control, held for a 3-0 lead and never looked back. She broke Schiavone again in the sixth game for the opportunity to serve for the match.
The first set saw a streak of five service breaks - but Oudin had three of them to lead 4-3, then held for a 5-3 lead before breaking Schiavone again to pocket the set when the Italian sent a forehand wide.
Schiavone struggled on her serve and committed 34 unforced errors.
"I struggled with her before in the past, but I was really ready today," Oudin said. "I knew exactly what to expect after watching Coco play her yesterday."