Could be that they fear of not being shot to death as a result, but tortured instead. Or they are threatened that any resistance will have their relatives share their fate. If it's not a captured soldier or tourist, it likely is a civilian they dragged off from the town, as they 'weed out' the heretics.

Elsewhere I've read once that the feeling of absolute defeat will make them accept the end, thus some don't even scream anymore.