I think it would depend on how confident I am that I’d be able to beat the kidnappers.
If it’s like inept comedy movie kidnappers and I feel like I’m on my way to deliver an ass kicking, then yes I’d play pump-up music.
If it’s scary KGB/ISIS kidnappers and I’m probably on my way to perform a well-intentioned yet ultimately futile gesture where I’ll likely get killed before I even get through the door, then probably no tunes for that one.