Reading the history for March 1863, it appears the 1st Kentucky started out in the Stanford/Danville area. Confederates were approaching and there were some troopers who were captured and paroled. If your relative was paroled, he would not be listed as a prisoner perhaps.
Stanford/Danville/Lexington/Winchester are all in close enough proximity that makes me think this might be relevant to your search. You can read the whole report beginning on page 134. There appear to be numerous opportunities for Wolford's men to be captured and the Thomson, Kentucky area is in the vicinity of these actions, one of which could describe what happened to your relative.
A few quotes:
So rapidly was the enemy advancing now, that at 6 p. m., on the 23d (of March,1863) the regiment struck tents and marched within two miles of Danville, arriving there late in the night……
The enemy was dilating about moving on our own men on the 24th, and did not approach the First Kentucky skirmishers on the Stanford pike until 12 m., and the firing commenced, and at 2:30 p. m., a general retreat was ordered. As the First Kentucky, being in the rear, fell back through Danville, there was a hand to hand contest, but fortunately there were but few casualties.
As the regiment slowly contested its way through the town, there were so many cross streets to contend with, that Lieut. Col. Adams found himself surrounded, and was compelled to surrender. A number of others were captured, but most of them made their escape. Many of the regiment were cut off in their retreat from the Lexington pike, and in making their way around by private roads and through plantations, had various adventures to relate of individual pursuit and hair-breadth escapes when they joined the main body of their comrades at Camp Nelson
A detachment of sixty picked men from different companies, all under command of Capt. Samuel M. Boone, of Company D, had been sent to Lancaster, and after Col. Wolford had orders to retreat, William S. Go wins, of Company I, was sent with a dispatch to Boone to meet us at Camp Dick Robinson ; but Gowins fell into the hands of the enemy and was paroled.
And on page 149 there was this notice of an encounter with some Louisiana cavalry on March 30 - in an action known as the Battle of Dutton's Hill.
Wolford's men, not being in a situation to see the movements of the enemy, were now in hopes that the bloody work was over, but were mistaken, for just at this time, Scott's dashing Louisiana Cavalry was seen flanking our position on the extreme right, endangering the capture of our train and horses then nearly a mile in the rear.
Serg. Thos. J. Graves and others, in charge of the horses, seeing the danger, moved up the horses toward the battle line.
So even as a farrier, your relative may have been involved. It would be interesting to know where the Union wounded were taken to be treated after the battle.