To get the Harlequin trophy from Batman Arkham City, you need to:
Go to the Steel Mill. Proceed to the boiler room's basement level, past the elevators, and look for the room with a small stage with “Joker’s Fun House” written on the backdrop. On the stage there is a conveyor belt moving penguins from the righto left. You need to destroy those penguins, and after doing so, a Riddle Question Trophy will appear. Just grab that with the Batclaw. You can now view Harley Quinn from your list of character trophies.
Check this video for a more detailed guide:
If you enjoyed Batman Arkham City, check out its sequel, Batman Arkham Knight, and review its predecessor, Batman Arkham Asylum. All this from Rocksteady Studios