I've got a real clear idea of what the game is about and what threat to the world Philip's talking about in the loading screen messages.
The book on grey worms near the end has a big bit of obvious foreshadowing.
I don't see how budget would come into play with this kind of game, much. You need moneys for a) The lives of the guys that make it, handled by other jobs/family/loved ones, b) running their computers, c) the voice actor (if he wasn't one of the game makers, I don't think it was...
After they complete it of course you've got d), publishing, which is by far, I'm sure, where most of the money spent making Penumbra went, printing and shipping out copies to game stores. For actually making the game, if you've got your own computers already, it's not to expensive.
The game doesn't have orchestrated scores, dozens of voiced characters, high-def pixel perfect FMV's, or motion capping, but it doesn't need any of those things. It came out great the way it is (the soundtrack, voice overs, and cutscenes were absolutely perfect
).