How can I close caption the Accordion Widget?

There is no option to add Closed Captioning for any of the Learning Interactions.

If 508 compliance is essential to your project, don't use Learning Interactions.

Similarly, there is no option to add Closed Captioning for Smart Objects in exactly the same way you do for slides.  However, you can include text in the Smart Shape that matches the audio attached to it, or you could include the text in the Accessibility Description field so that it gets read by screen readers.

However, I suggest that rather than trying to make your multimedia e-learning 508 compliant you get your client to agree to provide a fully web-accessible document version of your course to disabled learners instead.  That way you can fulfill their needs to have something fully compatible with screen readers without compromising the creative possibilities of the e-learning for the other non-disabled learners.