No man, get options on what to do with a captured spy:
-attempt to find out who he is working for, success depends on spy stuff and is not guaranteed. ideology affects how "enhanced" your interrogation is.
-tell the person who he is working for or not, both with consequences, with the option to accuse the wrong person if you failed to find out who he works for.
-attempt to turn the spy and turn him into a double agent
-release the spy back to employer as a sign of good will
-keep the spy as a "political prisoner" that you can use as leverage in trade/negotiations. make a few other sources of political prisoners too. can factor into ideology aswell.
-kill the spy. decide what you do with the body, ie plant the body to be found in another civs world, return to owner as a warning, or just airlock it.