So, when you're under siege, caravans obviously won't come. But perhaps there should be the option for some more underhanded trading methods, such as contacting a smuggler and having them try to sneak through the blockade. The smugglers wouldn't belong to any centralized civilization, instead being a group of worldgen characters. The catch would be that their goods are extremely variable in nature or quality and some probably were obtained through very questionable means (Possible relations hit with civ from which the goods originate from?) Depending on the nature/power of the siege, they will charge much more then a more conventional merchant for even basic goods, and they will have an extremely limited carrying capacity to limit what they have to offer and what you can give them. Also, the chance of one appearing should be variable depending on the nature of the region you are in, and any smugglers you know could easily get themselves caught and killed by some other group as the world goes on outside your fortress, requiring you to find new contacts.
Another possible use I could see for them is getting past a Noble's export ban in peacetime (Probably with a chance of getting caught and all involved parties being punished.) And when the economy gets more detailed and fully implemented and we start seeing stuff like taxes,tariffs, and embargoes, they could possibly be merchants in Adventure/Fortress mode that try to evade those.