There , they learn that Vaan 's friend Penelo was kidnapped by a head-hunter who was looking for Balthier . The kidnapper is named Ba ` Gamnan , and he has taken Penelo to Bhujerba , a city in the sky . With the help of Balthier and Fran , the party then travels to Bhujerba , where Penelo is kidnapped by Ba ` Gamnan , a bounty hunter trying to catch Balthier .