WordNet (r) 3.0 (2006):

penal colony
    n 1: a penal institution where prisoners are exiled (often
         located on an island from which escape is difficult or
         impossible)

Moby Thesaurus II by Grady Ward, 1.0:

45 Moby Thesaurus words for "penal colony":
   POW camp, bastille, black hole, borstal, borstal institution,
   bridewell, brig, cell, concentration camp, condemned cell,
   death cell, death house, death row, detention camp, federal prison,
   forced-labor camp, gaol, guardhouse, house of correction,
   house of detention, industrial school, internment camp, jail,
   jailhouse, keep, labor camp, lockup, maximum-security prison,
   minimum-security prison, oubliette, pen, penal institution,
   penal settlement, penitentiary, prison, prison camp, prisonhouse,
   reform school, reformatory, sponging house, state prison, stockade,
   the hole, tollbooth, training school