Throughout each of the ten challenges in this DLC is a hidden collectible in the form of a doll. They don't contribute anything, other than just being a collectible. Once you get the Emily's Doll from any particular challenge, it will always stay as being found and you don't need to grab it again. Getting all ten dolls will reward you with the Mrs. Pilsen's Remorse achievement/trophy .
When you get past the second room from the beginning of the challenge, you will encounter a group of Weepers. These enemies come from a room, so go in it after dispatching them and look on top of the bookshelf to your left for the doll.
Back Alley Brawl
As soon as you start, look left and Blink to the floating piece of metal, then get on top of the chain next to it. You should see another one connected to the next building, so get on that one and walk higher to the end, where you'll see a crane sticking out from the wall. Get on this crane and the doll will also be on it.
Bend Time Massacre
Make sure that you don't break the glass, which will start the challenge by slowing down time. When you begin, go around to the right until you spot a piece of platform at an angle. Get on it and look to your right to spot a ledge you can jump to (you only have a single jump). This make take a few tries to reach, but you can keep trying with no worries. Once you manage to get up, go around to the right until you spot another platform that is slanting up, which is where you'll find the doll.
This one can be tricky to get, since you're on a strict timer, but you'll need to go to the top of the big, slanted building. Look off of it to spy a rocky platform that you need to double jump and Blink to, where you'll find the doll at the base of the tree.
This doll is located on the third floor of the mansion. Once on that floor, interact with the fake lamp to reveal a secret passage that leads to a small room with a lone coin on a desk. Take it and as you exit, you find a different room with an ingot on some kind of altar. Grab that and head back to the first room to find another coin, as well as the doll.
You won't be able to find the doll in this challenge until the very end. Right before the final drop, you should see a sign that says Dunwall on it. Face it and the final drop, then look up and to the left to spot a train car on the cliff. Blink up to it and go inside to find the doll.
As soon as you start the challenge, go down the right set of stairs and to the end of the train tracks to your right. Drop down to some rocks below and you'll see a tunnel there, which is where the doll is located.
From the starting point, go out the door and turn down the hall to the right. Keep past the corner and right across from the open area, you'll find a pair of doors that lead to a bedroom. Go inside and you'll find the doll on top of the giant rock in the room.
Considering you're limited to a small platform for the entirety of this challenge, it should be pretty easy to find the doll and it is. As soon as you begin, look in the bushes in front of you to find the doll.
Go through the challenge as if you were normally doing it until you come to the gate, but don't go over it. You should see a building to the right of it, with a purplish hue coming from the window. Go in the window and into that room, looking for the painting in the air/corner. The doll is on that painting, on the other side of it.