My wife came in the US as a Legal Permanent Resident in May 2018. She did not have any insurance coverage until the end of the year, are we still going to be penalized?

As long as you make an election to file a married filing jointly return and attach it to  your return and mail your return, she will be exempt from the penalty.

https://www.irs.gov/affordable-care-act/individuals-and-families/questions-and-answers-on-the-individual-shared-responsibility-provision

Treat your spouse as resident alien for tax purposes.   If you do this, you will need to include your spouse's worldwide income in your US tax return and it will be subject to US taxes.  To do this follow these steps

1. Attach a statement to your tax return, signed by both spouses, that states that one spouse is a nonresident alien and the other is a U.S. citizen or resident alien, and you are choosing to both be treated as US residents for the tax year.
2. List the name, address and Social Security number (or Individual Taxpayer Identification number) of each spouse. If your spouse has a social security number you will use it.  If not, you will need to apply for a number using Form SS-5.  If your spouse is not eligible to apply for a Social Security number, complete a Form W-7, Application for IRS Individual Taxpayer Identification Number (ITIN) (http://www.irs.gov/pub/irs-pdf/fw7.pdf).  This form will be attached to your tax return.  Turbo Tax does not support the Form W-7.  You can complete it outside of Turbo Tax.  You will have to print, sign and mail your return in if you are using Form W-7.
3. For the first year you make the choice, you have to file a joint return. In later years you can file joint or separate returns. Married Filing Jointly will give you a higher standard deduction and has other benefits that are not available using a married filing separately status, but you do have to include your spouse’s worldwide income in joint income.

 Please see page 8 of

Publication 519

You will both need to sign the statement and the return before mailing.