Yup. 17.2b.
b. When Ball Played from Penalty Area Is Lost, Out of Bounds or Unplayable Outside Penalty Area
After playing a ball from a penalty area, a player may sometimes be required or choose to take stroke-and-distance relief because the original ball is either:
Out of bounds or lost outside the penalty area (see Rule 18.2), or
Unplayable outside the penalty area (see Rule 19.2a).
If the player takes stroke-and-distance relief by dropping a ball in the penalty area (see Rule 14.6) and then decides not to play the dropped ball from where it comes to rest:
The player may take further relief outside the penalty area under Rule 17.1d(2) or (3) (for a red penalty area) or under Rule 17.2a(2).
If the player does so, they get one more penalty stroke, for a total of two penalty strokes: one stroke for taking stroke-and-distance relief, and one stroke for taking relief outside the penalty area.
The player may directly take such relief outside the penalty area without first dropping a ball in the penalty area, but still gets a total of two penalty strokes.