Frank,
I hope this helps you. I don't see where he was captured at all. That does not mean that he was not but I am going to paste the first and last report in him according to the records of the state of Illinios.

Record one;

Name O'CONNER, JAMES H

Rank 2LT Company M Unit 3 IL US CAV

Personal Characteristics

Residence PANA, CHRISTIAN CO, IL Age 28 Height 5' 8 1/2 Hair BROWN

Eyes GRAY Complexion FAIR Marital Status SINGLE Occupation LAWYER

Nativity MIDDLETOWN, DELAWARE CO, NY

Service Record

Joined When AUG 12, 1861 Joined Where PANA, IL

Joined By Whom G E PEASE Period 3 YRS

Muster In AUG 22, 1861 Muster In Where SPRINGFIELD, IL

Muster In By Whom N/A Muster Out N/A

Muster Out Where N/A Muster Out By Whom N/A

Remarks PROMOTED 1LT

Record two:

Name O'CONNER, JAMES H

Rank LTC Company HQ Unit 3 IL US CAV CON

Personal Characteristics

Residence PANA, CHRISTIAN CO, IL Age 35 Height N/A Hair N/A

Eyes N/A Complexion N/A Marital Status N/A Occupation N/A

Nativity N/A

Service Record

Joined When MAY 16, 1865 Joined Where ST LOUIS, MO

Joined By Whom CPT HALLOCK Period 3 YRS

Muster In MAY 16, 1865 Muster In Where ST LOUIS, MO

Muster In By Whom N/A Muster Out N/A

Muster Out Where N/A Muster Out By Whom N/A

Remarks HONORABLY MUSTERED OUT JUN 6, 1865