These missions are enabled only after Martian peace talks happened, aka at least one day after Spoken Martian Language research completed. They will happen on a Beastmen mission area, with the tittle say Saving or Rescue captured alien.
So it's possible for a player who leave Martian researchs last can not have them happened, because the BM area was reduced to two left (elysiums). Let the BM capture one more area and the next mission on that land would be this type (maybe).
The captured Martian will be in a corner, on or around a Beastmen dais, and not be attacked by them yet. Once you come near, they will join instantly and start being attacked by nearby hostiles.
It's the usual Capture mission but you can control the Martian somewhat better than other captured aliens. If you give them approriate weapons they can use it but the skill is low (Good or worse)
After each one of these mission you got one Martian join your roster, maximum three. The order is, soldier first and two soldier/scientist later.
NOTE: The appearance of this type of mission on an empty Beastmen area is not fully understood. Even if you reload ten times for that one area, it's possible for it not to appear. Advise to use related cheat codes to initiate this type of mission on World map.