Former Hamas hostage Rom Braslavski told his story of what he experienced in captivity. At the beginning, his captors said "convert to Islam or we torture you". He refused, and was tortured. The rest of the interview was the gory details of what happened.

If you're in that situation, why not fake convert? If a Muslim with a gun pointed at your head says "convert to Islam or I kill/torture/injure you", it isn't immoral at that point to fake convert, and then pretend to have converted, and look for an opening to escape. Why not fake convert, let them think you're sincere? Eventually, they'll trust you and give you your freedom, then you run away. Or just say "I want to go back to my relatives in Israel so I can tell them how wonderful Islam is!"? Even if you're worried about being "killed for converting away from Islam", you can always assume a new identity after you escape.