It has been quite some time since he needed to torture someone for information.
Even though he hadn't been able to exercise, his torturing skills—learned from his time in the military, considering he almost died in his first mission, Rex still remembered the versatility of torturing methods that will vary depending on the target.
Figuring out the target's fear was the first thing to do before starting the torture process.
Because of that, interrogation comes first before the torture.
Rex was about to do that, he was about to probe around for Catherine's fears.
Additionally, in possession of Whiro the Necklace of Despair Rex could easily gauge the fears as he could literally see fears with his eyes. He had already made guesses, but all of that was vanquished when Catherine suddenly gave up without resisting.
She was complying even before being tortured.