Sorry, can't be done. Captions don't allow Word Fields, which is what Zotero uses for references. Insert the ref manually and use "edit bibliography" to add it to the bibliography if it's not cited anywhere else in the text.
I made a feature request for MS Word for this feature. Would have been great if someone had done this four years ago but better late than never, I guess.
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If you'd like to insert Zotero references into image captions, please support this feature request here: https://word.uservoice.com/forums/304924-word-for-windows-desktop-application/suggestions/34175194-allow-word-fields-in-image-captions