Penglai was actually one of 5 magic islands that roamed around the eastern ocean on the backs of giant turtles. These islands were paradises and home to immortals. Legend has it that one of those immortals was out fishing one day and somehow managed to hook an island turtle and tangle up another. How he accidentally snared two massive, ISLAND-SIZED TURTLES I'll never know, but it was bad news for the people LIVING on that island. However, in some legends one of the turtles (named Ao) was killed by Nuwa when she repaired the sky. I like to think that the fishing line killed one and Nuwa killed the other

Either way, two of the turtles end up dead and the populations of immortals on them get displaced. They all move to the remaining three islands: Fanglu, Yingzhou, and Penglai. Of the three, Penglai is the most famous.

Honestly I think that lion turtles from Avatar: The Last Airbender are more similar to the mythological Penglai than the city of the same name in Yang Jian. I would be genuinely surprised to hear that the creative team took no inspiration from this myth when creating lion turtles.

That being said, I'm in no way disparaging Light Chaser Studios and the team behind New Gods: Yang Jian for how they portrayed this location in their film. It looks gorgeous. (Though it would have been awesome if it were on a massive flying turtle)