1. Misprint: Errors can occur during the minting process, resulting in coins that have unexpected markings or features. Occasionally, a planchet (the metal disk that the coin is made from) may have fragments of another coin or foreign objects stuck to it before being struck, which can lead to misprints like the one you described.
2. Altered Coin: It's also possible that someone intentionally embedded the Dime into the Penny. This could have been done as a DIY experiment, an art project, or even a deliberate act to create a unique coin.
3. Souvenir or Novelty Item: In some cases, coins are produced as souvenirs or novelty items by companies or individuals. They may intentionally embed different coins or objects into coins to create unique designs.
To determine the authenticity and exact nature of the coin, you may want to have it examined by a professional coin dealer, numismatist, or expert appraiser. They can help identify whether it's a genuine misprint, an altered coin, or a souvenir/novelty item.
Regardless, it's an interesting find and certainly something to keep safe and enjoy!