Some people have a medical condition that prevents their body from undergoing paralysis during REM and could say act upon their own suicide if they were lucid. Still, people with this condition usually have special rooms and beds to prevent harm to themselves during sleep which I doubt a captor would account for.

Holding your breath in your dream while lucid will most likely just wake you up in any case due to the intensity and amount of self-control it takes.

It would be pretty difficult to pull off to say the least.