"continue" equivalent command in nested loop in Windows Batch

goto :Label inside of a block of code () like a for loop breaks the block context, so everything after the :Label is treated as being outside of the block. So you need to invert the if condition to not need goto as ths's answer demonstrates, or you place the code fragment with goto and :Label into a subroutine and use call like this:

for %%i in (1, 2, 4, 8, 16, 32, 64, 128, 256) do (
    for %%j in (1, 2, 4, 8, 16, 32, 64, 128, 256) do (
        call :SUB %%i %%j
    )
)
exit /B

:SUB outer inner
if %1 gtr %2 goto CONTINUE
test.exe 0 %1 %2 100000 > "%1_%2.txt"
:CONTINUE
rem
exit /B

it seems what you are actually trying to accomplish is a poor man's "less or equal than".
In this case, why not use the real "less or equal than", which is LEQ?
Additionally, you seem to want the output of test.exe in the "%%i_%%j".txt file, so don't use echo.

So this would be

for %%i in (1, 2, 4, 8, 16, 32, 64, 128, 256) do (
    for %%j in (1, 2, 4, 8, 16, 32, 64, 128, 256) do (
        if %%i LEQ %%j test.exe 0 %%i %%j 100000 > "%%i_%%j".txt
    )
)