The mod Image captions shown in slideshow mode (http://forum.coppermine-gallery.net/index.php?topic=10265.0) should go into the core code imo.
The script of the slideshow stays the same ? In this case, let me say you it crashes server if you have a lot of traffic + a lot of pics.
It exists however scripts which loads pic per pic (you can have in this case 100000 pics, it's not a problem). Do you want I send a link here ? (And it's the case the script was the same)