Correcting/updating my earlier answer:
1. I understand that the official syntax of does not allow nesting of character styles within captions.
2. The syntax of \fig being like a character style with attributes, however, does allow nested character styles.
3. PTXprint 2.8.8, once it is released, should allow character styles in captions, however there may still be problems if you start off with the \nd within Paratext, and the last time I checked \fig s that included other markup were silently ignored, and not added to the generated piclist.
I don't know how other tools, e.g. SAB, will respond.
4. Unless your SFM is marked as \usfm 3.1, any tool that treats \fig ... \fig* as a character style will get very confused if you use \nd in the fig, rather than \+nd, as it would treat \nd as ending the \fig. (usfm 3.1 gets rid of \+something format, and requires character styles to have an end-marker).
5. You asked how to mark it... I'd recommend something easily visible on the proof copy and very clear. How about \fig The *FIXME**ND>*Lord*<ND* called from the burning bush|.....\fig* ? (FIXME giving you a string to search for, and *ND>* text *<ND* marking where the typesetter should apply what mark-up.
As far as I know, ptxprint doesn't have a changes file section that will be applied to figure captions, but searching the jobname.piclist for FIXME is simple enough with a text editor.