The Royals, who have won three in a row, capitalized on a big break to open the ninth inning when Mitch Maier swung and missed at a third strike but still reached first when John Axford's pitch got past catcher Martin Maldonado.
It was ruled a wild pitch and Maier moved to second on a groundout by Mike Moustakas.
After Alcides Escobar struck out, Jarrod Dyson drew a walk. Pena's single to left allowed both runners to score and handed Axford (1-3) his second blown save in as many nights.
Kansas City swept the three-game series.
The other two Kansas City runs came on a homer from Eric Hosmer in the sixth. Ryan Braun and Aramis Ramirez hit solo shots for the Brewers, who took a 3-2 lead in the eighth on an RBI single from Cody Ransom.
Tim Collins (4-0) worked the top of the ninth to get the win. He did the same thing Wednesday when the Royals rallied to a victory over the Brewers.