If he is bad mouthing Cathy when she is not there, what is he saying about you when you aren't there?
Oh, I'd bet for sure, especially if Cathy and Anne are still friends as well. I'm not usually one to jump on the abuse issues, but this is very common when someone is trying to control another person. Anne is only hearing negative things about Cathy from Bob, and as soon as you leave I bet he says the same things about the OP. He probably has nothing but negative things to say about all of Anne's friends.
If this were me, I'd start commenting back along the lines of "Wow Bob, you are really invested in Cathy. You spend so much time talking about her!" "It's nice to know that she's in your thoughts, it's good to have someone who cares."
Flip it around, make his negative comments into positive ones. He brings up Cathy in a conversation where you weren't even talking about her? Gush about the woman. "Oh yes, I forgot to mention Cathy, she and I just went to the most lovely movie last weekend."
He knows he's making you uncomfortable, that's what he's trying
to do. Show him that not only are you not uncomfortable, you're enjoying your time with Anne.