They are relative and interrogative pronouns. It just depends on their place in the sentence. If they are written in the beginning of a sentence and directly related to the question issue, they are in position of an interrogative pronoun.
Example: Who is that lady?
But, if they are inside a sentence, creating a relation with a previous spoken noun, they are relative pronouns.
Example: That lady, who has got a brown dog, is my new neighbour.
