Although I have never heard the phrase "Cat Nab Pavillion", it is more likely to be the Assembly Rooms, which became the Spa ( and in my youth Philmore's ), which was on Saltburn Bank (Saltburn Road).
As far as I remember, before Philmore's it was called the Spa Pavilion, but may have been Cat Nab Pavilion. It certainly had a theatre, as the local AmDrams, the 53 Society, used it when I was a child in the 1960s . I think it is now the Spa Hotel.
Of course, Cat Nab is over the beck in Old Saltburn, near the Ship Inn, but may have lent it's name to a building in the (relatively) new Saltburn.
I have some old postcards from Saltburn, my home town, I'll dig them out and see if any mention the Pavillion
Hope this helps