Since the operation of China’s carbon trading market is still immature, the carbon price affects the carbon capture rate and carbon trading cost of the virtual power plant (VPP) system under the combined effect of market fluctuation and government control. Therefore, this paper proposes a robust optimization model of CCS-P2G VPPs considering the penalized carbon price in the price-sensitive interval. The penalized carbon price constructed based on the price-sensitive interval that can effectively stimulate the system’s carbon capture under the marketized price will increase as the system’s actual carbon emissions increase. Therefore, it is introduced into the adjustable robust optimization model, which takes the wind power output uncertainty into account. Finally, the superiority of the proposed model is verified by comparison and analysis in four scenarios. The simulation shows that compared with the traditional carbon price, the penalized carbon price considering the carbon price-sensitive interval improves the carbon capture level of the system, and the carbon reduction effect is better; a larger robustness index indicates a more conservative system and smaller VPP gain, and vice versa. The model proposed in this paper can effectively participate in the competition of carbon markets, and the formulation of reasonable penalized carbon price interval and robustness index can realize the synergy of economy and low carbon of the VPP system.