He was asking where DW was, directing his question to Pee Guy, presumably a cop who had earlier humiliated himself and earned himself a shameful nickname by peeing his pants when Bane first attacked.
See, Hothead Remover is a big fan of nicknames, so he's also given Bane the nickname DW, in reference to DW Reed, a character from the children's cartoon, Arthur, who is known for crashing planes.