Can you "print to jpeg" then open that file in Photoshop and add the caption?
+1, or just send the images to PS and create a collage on the appropriate size image. Text to your heart's content, save as Tiff. Print in LR. I do this regularly. Lightroom is powerful, flexible, but is not suitable for text beyond the very rudimentary.
As an aside, since I'm already in PS with multiple image collage, I'll often give each of them a small and light drop shadow and / or stroke border to make them pop a little. Text also can have drop shadow.
Here's an example. One of the advantages of this approach is being able to partially rotate images, etc. I had done some restoration for a friend and then made a collage of the collection:
Rand