He must have known about the supposed kidnapping. Otherwise, why would he be carrying an umbrella loaded with dry ice?
7 seconds sound clip from Batman (1966) - The Penguin Goes Straight (S1E21) sitcom.
You can hear this line at 00:10:38.334 in the Blu-ray version of the TV Series episode.
Quote context
[...]
- Elementary, my dear, Reggie.
- My ubiquitous umbrella was fortunately loaded with colored dry ice.
- When I discharged the jet, the vapor was instantly condensed.
- The reason is the season, Batman.
- What?
- This prematurely hot weather annoys me. Being a Penguin is kind of a bird, I hate hot weather.
- So what could be more natural than I should carry an umbrella loaded with dry ice?
- If you hate the heat so much, what you doing in a steam room?
- I ask you, is that an ethical question? Between crime fighters, competitors, you might say.
[...]