Can I use a custom video player Skin in Adobe Captivate

The easiest way to do this is the create an html page with the video an your skin, zip that and insert as an html5 animation.

I have also created skins and used them to control event video using JavaScript in Captivate. Depending on which type of video and what controls are in your skin, you options can be limited in Captivate.

The best way is through the HTML5 video as an animation, although you can lose the full screen depending on the browser since the video is in an iframe. There are some workarounds foe this, though I've found that it is still browser dependent.