It ran on the cable network 2014-16 and is now streaming on Netflix.
"Penny Dreadful" creator, writer and executive producer John Logan is also onboard for "City of Angels," which a press release said would be steeped in the Mexican-American folklore and social tension of the era.
No casting for the new show has been announced yet.
"'Penny Dreadful: City of Angels' will have a social consciousness and historical awareness that we chose not to explore in the Penny Dreadful London storylines," Logan said in a statement Thursday.
"We will now be grappling with specific historical and real world political, religious, social and racial issues. In 1938, Los Angeles was facing some hard questions about its future and its soul. Our characters must do the same," he added.
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"There are no heroes or villains in this world, only protagonists and antagonists; complicated and conflicted characters living on the fulcrum of moral choice."
Logan said two years ago that he had always imagined the first "Penny Dreadful" series, which wove together dark stories from Victorian literature, as a three-season saga focused on Green's character, Vanessa.
"I created 'Penny Dreadful' to tell the story of a woman grappling with her faith, and with the demons inside her. For me, the character of Vanessa Ives is the heart of this series," Logan said as he announced the show would not return for a fourth season.
"From the beginning, I imagined her story would unfold over a three-season arc, ending with Vanessa finally -- and triumphantly -- finding peace as she returns to her faith."
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