There is also mentioned in the Official Records that many individuals (private citizens) were held in Hardin Co., IL. While they weren't in the confederate service, they were still "held there" and not let to leave for a long period of time. They had came across the river from Kentucky. Both of these places would be upstream of Golconda (which is in Pope Co.).
Downstream, there was a camp at Ft. Massac (abandoned for the most part early on).
If your relative was held for a long period of time at Golconda, or near there, you would have to consider why. Was he ill when captured? Was he related to someone in Illinois accused of being a spy or copperhead? Did he know someone who was trying to get him exchanged--perhaps a politician?
As for a listing of captured Confederates, which boat they were transported on, and to where, etc. I know of no complete single listing. Most of the prisoners captured in battle and taken to the prisons in Illinois, were taken by river transport to Cairo, then by train to the prison they were assigned to. If captured & sent to a place that didn't have a local train at that time, they would have to stay at a local camp of some sort until the military could transport them. The majority of steamers up and down the Ohio were under Federal service (whether military or hired by the government for transport, etc.) whether they wanted to be or not. Chances are your relative was taken to the Golconda wharf by one of the local riverboats, being held there until orders were received from someone in the military.
Possibilities are endless, but sorry, I don't have anything specific for you.
Ann