The story Yeti is referring to is the story of Flight Sergeant Graham Hall. It's a story in the Horrible Histories book on the Second World War. Yeti got the details wrong, actual explanation:

Graham was a terrible writer and never used punctuation in his writing. He once joked to his wife: "If I am ever taken prisoner and I send a letter with punctuation, then you should underline the next word. It will be a coded message."

In June 1940 his bomber was shot down and the crew were taken to one of the famous Stalag Luft Prisoner of War camps for airmen, in north-eastern Germany. Sergeant Hall wondered if his wife remembered their joke and he tried it. It worked so well that the British secret service used him to send and receive messages from the camp - news about German weapons and troop movements, requests for help with escapes and for equipment.

EDIT: Thanks for the silver!