This article from Inverse.com states the following:
[Diego] Luna said he spent a night camping with former Marines and Navy to research the role [of Cassian]. Specifically, he wanted to learn about what it's like to be captured and tortured, because Andor has been captured in the past.
EDIT: It seems like the Inverse article summarizes this Slashfilm interview, where Diego Luna says "Cassian has been captured more than once".
Has this element of backstory ever been mentioned elsewhere?