Please add an optional Keyboard Shortcut for "Add caption" when on the Captions area of the timeline.
We have completely redesigned the captioning workflow in Premiere Pro version 15.0. You will see this feature as well as many other dramatic workflow improvements. Please update to the latest version.
Learn all about the new captions workflow here: https://helpx.adobe.com/premiere-pro/user-guide.html/premiere-pro/using/working-with-captions.ug.html
Also will be good when you have selected a caption in the timeline have a shortcut for in/out.
And when you add a caption to be added in the timecode you are in the timeline, not when you finish the last caption.