I don't know if he told her about them. But early on when I google imaged @taylloo images of those very walls, were ones he had posted on his IG account. I think they have since been taken down.
So my guess is he had known about the walls. However one could also speculate that other Istanbul based Igers also knew about those walls, for photo opps. So who knows who told her about them.
But based on her appearance that day. Hair down, smaller bag, I have too agree with Herat. I think she had something on her mind that day, other then photography at least other then just photography. I really think she was going to meet someone there.
Again I'm basing that on the way she was dressed, and the fact that even if she wondered down Kennedy just randomly, I really don't think anyone least of all a lone female would want to cross that road and wonder into those walls. It just has a creepy vibe, and like I said I give her more credit then that.