Lost in the City is the second Lost Women rescue in the Jack the Ripper DLC: a kidnapping ring is supplying women to wealthy men in the City of London, and Evie hijacks the carriage carrying their latest captive.
Nellie tells you another woman was attacked and taken. Inspect the gang's carriages, hijack the one she is in, and once you are clear of the thugs, stop and let her out.
This time the trail runs into the City of London. The memory's description says a ring is procuring kidnapped women for wealthy clients who assume no one will ever suspect them.
Two of Lady Owers' brothels, at Ludgate Hill and Gracechurch Street, are in the City of London and serve its elite, so this borough is where much of the trade in women ends up.
Only one of the gang's carriages holds the captive, and her shouts give it away. Check each one before taking the reins.
Ludgate Hill Brothel
Ludgate Hill Brothel is the first Brothel Attack in the Jack the Ripper DLC: Evie takes back one of Lady Owers' most successful houses in the City of London from her thugs, frees the women and then beats the gang leader outside.
Buck's Row Brothel
Buck's Row Brothel is the last Brothel Attack in the Jack the Ripper DLC: Evie frees a Whitechapel brothel where Lady O's thugs force the women to spy on clients and hand over everything they earn.
Lost Women
Lost Women is the first rescue activity of that name in the Jack the Ripper DLC: Nellie asks Evie to save a woman who was knocked out and carried off, and you find the right carriage, hijack it and lose the kidnappers.
Shameful Abuse
Shameful Abuse is the second Walk of Shame activity in the Jack the Ripper DLC: copycat violence near London's train stations has followed the Ripper headlines, and Evie catches one abuser and marches him through a crowd to Nellie.