Multiple exposure is not the way to achieve this. A better technique is to use slow shutter sync.

Slow Shutter Sync

There are two basic ways in which a camera can take a flash photo when light levels are low. The camera can either use a short shutter speed to minimize camera motion blur and have the flash blast out enough light to illuminate the foreground objects whilst leaving the background dark, or the camera can extend the shutter time to allow more of the background to show up and flash-illuminate the foreground subject. This latter technique is called slow sync, slow shutter sync or “dragging” the shutter.

A typical example is a tourist snapshot of someone standing in front of a famous landmark at night. If you keep the shutter speed fast then you’ll have a nice flash-illuminated photo of your friend against a pitch black backdrop, unless the landmark is extremely brightly lit or unless you’re using very fast film or a high digital ISO.

However, by slowing down the shutter speed you can take a photo of the person standing against a properly exposed background.

The drawback is obvious, of course. By slowing the shutter speed you’re going to need a tripod to avoid blur induced by camera movement, especially with long shutter speeds like 1/15 second or slower.

Olympus PEN Specific Setting On the PEN the setting you are looking for, located within the flash settings menu, is called "Slow".

Multiple exposure is not the way to achieve this. A better technique is to use slow shutter sync.

Slow Shutter Sync

There are two basic ways in which a camera can take a flash photo when light levels are low. The camera can either use a short shutter speed to minimize camera motion blur and have the flash blast out enough light to illuminate the foreground objects whilst leaving the background dark, or the camera can extend the shutter time to allow more of the background to show up and flash-illuminate the foreground subject. This latter technique is called slow sync, slow shutter sync or “dragging” the shutter.

A typical example is a tourist snapshot of someone standing in front of a famous landmark at night. If you keep the shutter speed fast then you’ll have a nice flash-illuminated photo of your friend against a pitch black backdrop, unless the landmark is extremely brightly lit or unless you’re using very fast film or a high digital ISO.

However, by slowing down the shutter speed you can take a photo of the person standing against a properly exposed background at night.

The drawback is obvious, of course. By slowing the shutter speed you’re going to need a tripod to avoid blur induced by camera movement, especially with long shutter speeds like 1/15 second or slower.

Olympus PEN Specific Setting

On the PEN the setting you are looking for, located within the flash settings menu, is called "Slow".