Do you want to make it interactive as well, which means adding Overlay slides with content and/or Knowledge Check slides? In that case, maybe have a look at:
The usual procedure to add closed captions to a slide video is the following.
Select the slide containing your video from the filmstrip
Click on the Video dropdown menu
Select Edit Video Timing. Selecting Edit Video Timing will result in the Edit Video Timing window to appear. The tab for adding closed captions is greyed out and not selectable.
I submitted a feature request for this about a year ago, but these sorts of features require critical mass before the Adobe engineers implement them. I see the only solution is to use local video where this feature would be available or to hard coding the closed captions on the video before uploading it to Vimeo.