It would be done by the Adobe Captivate team modifying Captivate so as to allow it to happen.
In other words, there isn't a way to do this presently. You might consider submitting a Feature Request so as to put it on their radar for a future release. (Link to the form is in my sig)
Helpful and Handy Links
My workflow is to import the Illustrator file as a smart object into Photoshop; indeed not directly. Captivate is all about bitmap. But with this workaround, in case you have the eLearning Suite you can edit the source Photoshop file and you know that Smart objects keep all the quality of the original vector graphic.
Perhaps this blog post by RJ Jacquez could be interesting: