I've only developed capture stories for some of my characters. Prepare for wordiness:
Aaloura (Bosmer):This girl is nothing but trouble (and my most well rounded character, having lived through several games). She caught passage on a series of ships from Valenwood to Cyrodiil, sometimes making her way with hard work and general usefulness, other times using more unsavory means. She began an intimate relationship with a Guard Commander while working for him as a scout/spy in investigations of local criminal activity. He began to suspect that she was using him to report on the guard activity
for the pirate leaders instead, and had her followed...to his house...where she was caught in bed with his wife. Aaloura was arrested for treason and espionage.
She escaped and ran to Bruma where she was captured by Legionnaires and badly beaten. She awoke bound and gagged in a cart in the mountains, staring down a blonde Nord that wouldn't.shut.up. When the cart stopped she found herself looking into the eyes of an Imperial Captain - who bore a too-striking resemblance to the Guard Commander she betrayed (in more than one way). She groaned, knowing that this would not end well.
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Falarion Thoruseus (Altmer): Not captured - He's a Thalmor soldier, roughed up and planted to watch Ulfric and seek a discrete opportunity to disrupt the execution. Realized too late that First Emissary Elenwen did not have any control over the situation and that he may actually be killed by the stupid Empire while on this assignment.
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Ysela Stillgaze (Nord): Grew up in a small, isolated mining and hunting community in the South of Skyrim. Things were very quiet until the civil war created a lot of cart and horse traffic of soldiers and supplies on the nearby road. She was always unclear why the shrine of Kynareth was open but the Shrine of Talos was in the cellar and never spoken of, and her family never talked of politics or current events. Then her village was raided by Imperial soldiers being barked at by some tall, bronze elves. After a few days of grief and helplessness she decided to go in search of her father and brother, who were taken into custody when they had fought to block the soldiers entrance to the house. She didn't know what she could do, she just needed to know what had happened to them. She followed the tracks to a military camp just south of the border before being spotted.
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Endryn (Dunmer): Thief and grifter. Spent most of his adult years working through Elsweyr and Cyrodiil. Drinks too much and indulges in an occassional weakness for Sleeping Tree Sap. Got sloppy drunk and botched an attempt to pickpocket a Nobleman. Stupidly tried to use the man's wife as a hostage and shield when the guards tried to arrest him, doesn't remember what happened next.