Thank you for contacting.
Sorry, it is not possible. It can be shown above the payment options, But i think that is too much above.

You can add following code in your theme’s (child theme’s if you are using) functions.php

add_action( 'init', function(){
    remove_action( 'woocommerce_checkout_after_order_review', array( anr_captcha_class::init(), 'wc_form_field' ) );
    add_action( 'woocommerce_checkout_before_order_review', array( anr_captcha_class::init(), 'wc_form_field' ) );
});

You can also use another action hook instead of woocommerce_checkout_before_order_review for other locations. See other action hooks in https://docs.woocommerce.com/document/tutorial-customising-checkout-fields-using-actions-and-filters/