So just get your spy and have them build an intel network in any country. Hopefully they get captured, and then you need to rescue them with another spy. After rescuing them, send them back to that country (or any other country) and hope they get captured again. When they’ve been nabbed for the second time, you’ll get the achievement. No need to save them this time.
As a note, the base Soviet Union buffs let them capture spies easier, so they would be the best nation to send them to for this.
Another thing to keep in mind is to not research suicide pills because it makes it less likely they’ll be captured, but instead commit suicide to avoid capture.
