Paragraph tag with an anchored frame in it.

No

and no,

if the frame is to be an empty vessel into which you can add content from a Body page.

FM can't position Anchored Frames above current line.

FM has no capability to automatically generate a frame, based on Paragraph Tag, at positions it does support ...

... other than the Advanced > Frame Above/Below, but that is limited to fixed pre-defined named frames from Reference Pages, whose content you can't change/add-to on the Body.

So create some text flow that looks and behaves as needed, then copy/edit for additional instances, or put an empty instance on a Ref Page for further copying.

One possible hack might be to use a 2-row table (borderless if needed), with the top row for content and the bottom for caption. Use Row Format Min/Max to lock the vertical size of the top row.

No.

However, you can create an Object Style (FM11 and later) for this type of AFrame to make consistently inserting the correct size and location a lot easier.