Pinkney Orphanage is located to the west fro where you are now. You need to check out this area before you go back to tracking Arkham Knight's vehicle. After reaching your destination, you can deal with the thugs standing near the entrance or sneak past them. Enter the building and go to the room where Catwoman is to rescue her.
Now you need to deal with Riddler's thugs. A novelty here is that you can switch between controlling Batman and Catwoman as you please. Moreover, after performing an appropriate number of attacks, you will be able to use Dual Team Takedown (wait for an information to appear on the screen). After winning the battle, listen to what Riddler has to say about the collar that Catwoman has on her neck.
Note - From now, you can complete the missions connected with Riddler's trials or return to the main story. If you choose the former, access the window where missions are listed (it comprises a separate menu) and find Riddler's Revenge there.