Cathy had been caught in the fact of plundering, or, at least, hunting out the nests of the grouse. The Heights were Heathcliff's land, and he was reproving the poacher.
He took her to plays and annoyed her by whispering that God probably didn't approve of such amusements, and to churches and, sotto voce, retailed funny obscenities and then reproved her for laughing.