No, penguins do not live in the North Pole. In fact, with the exception of the Galapagos penguin, all species of penguins live in the southern hemisphere in the wild. This also means they do not share a natural habitat with polar bears, which are exclusive to the northern hemisphere, despite often depicted together in popular culture such as Coca-Cola's Christmas ads.
Interestingly enough, the northern hemisphere did have a similar bird called the Great auk. Much like penguins, Great auks walked on two feet, and had a similar appearance with black backs with white fronts. Once found all over the northern Atlantic in places such as Canada, Greenland and Iceland, Great auks are now extinct due to hunting, with the last known sighting in 1852.