I was prompted to pay my penalty during filing and I said yes, but my 1040 doesn't show this. Where can I find proof that I already made my penalty payment?

The penalty would be on line 38 of your 104. 

Which penalty?  There's an underpayment penalty on 1040 line 38.    That is already included in the tax due on line 37 or reduced a refund on line 35a.   

Or did you get a 1099R?  There is a 10% Early Withdrawal Penalty if you are under 59 1/2.  The 10% Early Withdrawal Penalty is automatically included in your tax return and tax due (or reduces your refund). It will break out and show the 10% penalty separately on your return (schedule 2 line 6 which goes to 1040 line 23). Then you get credit for all the withholding taken out on 1040 line 25b.

Or how did it prompt you to pay a penalty?  Any penalties in Turbo Tax are included in your tax return.  You don't pay them separately.  Or did the IRS send you a letter for it?