If the caption displays "No Caption" for one or more images in your slideshow, it means that your images don't have any IPTC metadata embedded in them, which is what SlideShowPro Player for Lightroom uses (by default) when assigning captions to your images. To change this, open the "Caption" drop-down box in the "Image Info" panel, and choose a different option that doesn't rely on metadata, or edit your images in the Library so that they include IPTC caption metadata. More on the latter option here.
If you do not wish to add captions and simply want to display and empty string, you must edit "Typography / Text Strings" setting. You can change what is displayed when there is no caption or title. For example, if you want it to look like nothing is displayed for the Title and the Caption, use this:
Previous Screen,Next Screen,Screen,of, , ,Playing,Paused,Click play to start audio
You will no longer see "No Caption" or "No Title" for images that do not contain that IPTC metadata.