There needs to be, but if there is a good one, I haven't read it yet. The Catherine biographies I read for Yuletide last year never rose above avarage. That said, I haven't read the Robert Massie one, which is supposed to be good, and also I seem to recall Simon Montefiore wrote one specifically about her and Potemkin which also got good reviews.

Re: biographies romancées, I can only repeat my reccommendation for Zweig's Fouché.