Of course. That's what his captors would say regardless. They want to scare the people he can betray and make him look weak.
Then again it makes sense. The only reason for keeping this dirtbag alive is the information they can get out of him, and Saddam will know that.
He'll also know that being cooperative is a way to remain in the custody of the US instead of the Iraqis. So he'll dribble info out over time to keep his skin.