one way, strange though, of getting hyperlinks on image caption is explained here.
You could something like what I did:
Insert the image you want, click on it to edit. insert in the caption name field anything, “a” for example, and save. go to the html mode and you will see the “[caption]… [/caption]“. insert the link you want before “[/caption]” within small tags. Like this:
[caption]…
<small>
Name of caption
</small>
[/caption]
Then, you have to remove the “a” you inserted just for the caption tag to appear in the code. Replace it with a simple blank space. If you remove everything that labels the caption in the code, the editor will remove the entire caption tag afterwords. A simple space is inoffensive. That’s it.