Or in case they are working against their will, "Return HELP if you're being held prisoner in a captcha factory", "My location is..." and "Please tell Amnesty International".

This is actually a pretty good idea. The captcha should include some kind of system for reporting slavery or other kinds of work-related abuse, whereby the reporter will be rewarded if the report results in the slavedriver being successfully prosecuted. As the number of employees become bigger, the likelihood that at least one of the employees will rat out his employer increases exponentially.

When I wrote a captcha script years ago, I included in the image the text: "Please only enter the text if you're on foobar.com", to deter people from relaying the image to a free porn site and getting horny teenagers to enter the captcha in return for porn.

Is it worth the risk to them? Their employer can grep through logs for hotkeys trivially, and it's not like typing in "help I am in a basement in Beijing" is going to send a rescue squad in 20 minutes.

You can provide a virtual keyboard the way E-Gold does it in order to fight key loggers.