I don't think USFM structure lets that happen, unfortunately. Thus Paratext should not allow you to enter it, and if you try, PTXprint will not like the result anyway.
BUT... PTXprint has been mentioned in another answer. So here's how to *actually* do it in PTXprint (assuming the figures UI is working properly for you...):
In ptxprint-mods.tex, add your equivalent of this:
\protected\def\ndLord{\cstyle{nd}{Lord}}
Use that definition in the caption editor: "The angel of the \ndLord\ appeared..."
A bit of explanation: you're defining a 'protected' macro (\ndLord) that selects the nd character style and typesets "Lord". The \protected bit means that various things like parsing the input and debug-logging don't expand it, only when it's actually used in the text. The "\ " between "\ndLord" and "appeared" tells it that you really do want a real space there, it's not just a space to mark the end of the macro.
Don't try to use \ndLord (or equivalent) in anything paratext touches, as \ndLord isn't USFM, and also (I tried) ptxprint will refuse to pick-up \fig entries that include USFM - valid or not - in the caption, etc, so you'll just end up with ignored images.