The only suggestion is to do it in the print module for you selected photo. Add the caption and then change from printer to jpeg. Click the button to print to file. Then add the exported file to the catalog and use that image in your slideshow without selecting captions for all slides.
One suggestion: highlight the desired images and create a new Collection - checking "Include selected photos" and "Make new virtual copies".
Whatever you do inside this Collection, is only happening to copies - so, will not affect your main versions of these images.
Remove any Caption text from all of these Virtual Copies, apart from that one image where you want it to still appear.
For the images with no Caption present, LR will display "< empty >" for a Caption overlay - but this does not appear when the finished slide show is viewed.
Tidy up: delete all these dedicated Virtual Copies (the entire contents of the Collection). Then delete the Collection itself.
This link gives the best explanation of adding different titles to individual slides: