How to change html of CAPTCHA module in another module?
I guess you could override theme_captcha. here is the code

function bartik_captcha($variables){
  $element = $variables['element'];
  $output='&lt;h2&gt;'.$element['#title'].'&lt;/h2&gt;';
  $output.= drupal_render_children($element);
  return $output;
}