Oh yeah, Empress likes a good high adrenaline yet romantic date. And she has a lot of manpower (catpower?) to get access to all sorts of places in the city. Rooftops, penthouses, or other top floor locations are great for making an impression. So a fancy, private dinner on a rooftop is absolutely something she would arrange.
Assuming you're not too scared of heights, she'd love to thrill you by securing the highest rooftop in the city for an evening date. She'd bring you just early enough that you can watch the sunset together. She's had her underlings decorate with string lights, a canopy, the coziest outdoor chairs, a small table, and a telescope. She's brought along two pairs of binoculars as well, and ordered some fine food and drink be left for when you arrive.
She loves treating you to a good meal while you converse and take in the scenery. You can leave the lights on to see by as it gets dark, or switch them off to better see the light of the stars and city. And with her binoculars, you can gaze at several buildings, trains, and sometimes cats beneath you. She's a bit nosy, so if you go peeking through binoculars, she'll need to as well. She wants to try to spy on cats.
You're never in danger of falling, as she's incredibly quick and perceptive. If you start to topple, she'll grab you instantly. This won't stop her from teasing you, though. She'll make remarks about how you might slip, and it's an awfully long fall, and it's rather dangerous even if you land on your feet. Usually if she says such a thing, though, she has a paw on your waist and is pulling you closer to her chest. You can tell by her smirk and playful tone that she's not really concerned about you being in danger, but she sure likes to remind you how risky this is, while subtly implying that she'll rescue you.
What Empress really loves is to see your eyes widen, hear your breath change, and feel you huddle closer to her. She loves to see the thrill you get. She finds it easier to excite you herself, too. She'll take the opportunity of this setting to be more teasing and flirtatious with you, by almost-but-never-touching-kissing you, whispering in your ear, pulling you in by the waist, running her paw pads down your back.
Some other thrilling dates she may take you on: Riding a Cat Train - on top of the train; axe throwing or a shooting range; helicopter tour; tour of dangerous places; bungee jumping; amusement park.
Her choice for a high adrenaline date is factored by both her limits and yours. She doesn't want anything that may involve getting wet, such as white water rafting. She also isn't scared of the supernatural, although she's open to experiencing such an attraction if you're interested.
She makes sure she has a sense of security in case anything does go wrong, like picking venues with good safety measures, or having underlings nearby.
And of course, if there's anything you're truly terrified of, she won't force you into it. It should be thrilling, but not terrifying.