I would tend to say yes. At least with slot machines, you know that on average, they have to return a certain percentage of money back to the players (for example, 85%, 90%, 97%, etc. depdning on the slots denomination). So, you know that if you play long enough, then on average, you should only lose a certain amount of money.
With a penny stock, there is no guarantee that they must return anything. You could very easily lose your entire investment, even if you held it for decades.
So, from that standpoint, I would suggest that slot machines could be considered less risky.
That being said, whether you are talking about gambling at a casino or investing in penny stocks, never "invest" more than you can afford to lose.