Something like this should work
add_filter( 'the_content', 'insert_featured_image', 20 );
function insert_featured_image( $content ) {
global $post;
if ( has_post_thumbnail($post->ID) ) {
$thumbnail_caption = get_the_post_thumbnail_caption( $post );
if ( $thumbnail_caption )
$caption = '<span class="image-caption">' . $thumbnail_caption . '</span>';
else
$caption = ''; // You can set this to whatever you want.
$img = '<p>' . get_the_post_thumbnail( $post->ID, 'full' ) . '</p>';
$content = preg_replace( '#(<p>.*?</p>)#', '$1' . $img . $caption, $content, 1);
}
return $content;
}