The Pentagon appears in the "Elmo the Musical" segment, "President: The Musical."
When President Elmo's First Lady, first Sheep-ret Service officer and First President painting go missing, the Pentagon (personified as the literal shape) calls the Oval Office to inform Elmo that there's a problem of the first order: all the firsts are being stolen! He reports there's no leads and that when any information comes, he'll be the first to know.
His introduction features a reference to the movie Airplane! ("It's a shape with five sides and five angles, but that's not important right now.")