Doing this automatically is probably not going to work, as Charles wrote. What you can do is insert the picture "In line with text," put the caption in the paragraph below it, select both of them and then wrap a frame around them. You can use the Insert Horizontal Frame command which you can add to the Quick Access Toolbar (File | Options | Quick Access Toolbar).

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Stefan Blom
Microsoft Word MVP

Microsoft 365 apps for business
Windows 11 Professional