Let $P \in \text{GL}_n^{+}(\mathbb {R})$. Suppose that $P\cdot \text{SO}(n)\cdot P^{-1} \subseteq \text{SO}(n)$.
Is it true that $P \in \lambda \text{SO}(n)$ for some $\lambda \in \mathbb{R}$?
I know that every matrix that commutes with $\text{SO}(n)$ must be in $\lambda \text{SO}(n)$ (and for $n >2$ it must be a multiple of the identity), but this is not the same question.
Edit:
In a previous version, I only required $P \in \text{GL}_n(\mathbb {R})$ instead of $\text{GL}_n^{+}(\mathbb {R})$. In that case any matrix in $\text{O}(n)$ would satisfy the requirements, so $P$ is not necessarily a multiple of special orthogonal matrix (in even dimensions).
I guess that a morally equivalent question would be to assume only $P \in \text{GL}_n(\mathbb {R})$, but to require $P\cdot \text{O}(n)\cdot P^{-1} \subseteq \text{O}(n)$. Then is it true that $P \in \lambda \text{O}(n)$ for some $\lambda \in \mathbb{R}$?
As you phrased your question, the answer is no. For $P \in O(n)$ we also have $P\cdot A \cdot P^{-1} \in SO(n)$ for all $A \in SO(n)$.