To lock up Harley Quinn you must face off a lot of her henchmen. Pay attention when you hear a siren because an inmate will try to pry open a weapon cache and access firearms. During freeflow combat, inmates equipped with firearms will try to maintain distance and will only open fire when there are no henchmen around to be caught up by friendly fire. Even when moving around they can still hit you easily and getting hit once will ruin your combo.
Either use quickfire gadgets or strike them to disarm them but bare in mind other inmates can pick the gun up and use it. Once all the henchmen have been defeated you'll get a cutscene where batman traps Harley Quinn. After the cutscene, the trophy unlocks.