You can try breathing through one to see. But the hole may also prevent it getting sucked into/deeper into your windpipe in the first place by preventing a seal.
Trying it out might lead to the cap getting accidentally sucked into the wind pipe. Please be careful.
Edit spelling.
Come on. Millions of people put pen caps in their mouths. Nobody's going to need a special warning when they're specifically thinking about the choking hazard.