Hello everybody, my question is:

I have Catelyn (DDR) in play, and my opponent attack in power challenge, i have in my hand Catelyn (SDI) (know it as jumping lady). Can i put Catelyn (SDI) as a copy of Catelyn (DDR), and because i used her hability, she must go to my hand at the end of challenge phase, and choose what Catelyn go to my hand?? (because at the end of the challenge i must discard a copy……

Yeah, you just broke about 3 or 4 rules there….

You could use the ability of the version of Catelyn in your hand, but she would enter play as a duplicate on the version already in play. Note that a dupe entered play, not Catelyn. So the "jumping" effect never successfully resolves. That means the version in play is NOT defending and there is nothing to return to hand at then end of the phase.