Firstly, a disclaimer, I am not a lawyer, that said, I have read up a lot on fair use.
...On what country
When determining fair use, there are many factors and considerations that go into it. For example, US fair use laws are more lenient than UK fair use laws. Where-as in the US you could safely quote an entire paragraph for criticism, in the UK the quoted segments need to be such they don't consist of a substantial portion of the original work (so if a paragraph was 50% of an article, it'd be a substantial portion).
...On who the copyright holder is
Images are even trickier, because source attribution is hard to find. Asking permission is no guarantee of a legal defence as the image poster may not be the rights holder.
Some people may publish images under creative commons, public domain (for example, the US government publishes images as public domain) or as non-commercial creative licences. The onus is on you to do the research to confirm both authorship of work and having the appropriate rights to it.
...On the context
When determining fair use (I am presuming the US here), judges consider the context of what the 'fair use' is for. A criticism published publicly for free is most likely going to be considered fair use, where-as taking someone's picture, slapping some text on it and selling it (or indirectly selling it) will be less likely seen as fair use.
For example of where fair use laws get very grey, look at how YouTube videos are handled and 'Where's the Fair Use?' complaints.
...On whether or not it's transformative
Again, US law, may not apply to worldwide situations. A transformation of a work is whether or not it's been sufficiently changed enough to be declared a unique piece. For example, if I painted grumpy cat myself, and put my own caption on, it would be most likely declared transformative. If, on the other hand, I just changed a few pixels or did something basic like 'sharpened the contrast' then it's most likely that it would not be considered transformative.
...On your financial situation
Of course, even if you have what you feel is a watertight legal situation, you likely could not fend off the behemoth of finances fielded by organisations like the RIAA. Google, despite being a multi-billion dollar industry figurehead, often capitulates to copyright demands (even to the detriment of users on YouTube) simply because the cost of defending every case would be prohibitively too high.
...On where the content is hosted
Now, this is where you run the biggest risk. There's a reason why internet sites can host meme images and run adverts without getting penalised directly by copyright litigation, and this is through the Digital Millennium Copyright Act (DMCA).
Publishers, like YouTube or 'Can I haz?' are protected by safe harbour policies because the content is primarily submitted by it's users. What this means is, publishers aren't held to account for the content they advertise off of if someone else is doing it. However, what they are required to do is supply a means of takedown in the event of copyright infringement.
Theirs is a website, yours is a game
And this is where your case differs - you are selling a game which contains content that you yourself put there. You are not publishing other people's content that they put on your site (and website is the keyword here as Section 230/DMCA protections only apply to websites), but inside a packaged game that you then sell on to others.
Now if you had a website where you hosted games - like Steam - that contained games that may contain copyrighted content which people can file takedown notices for, that would be a different matter. But because you're producing the content, IE the game, you are legally liable for any copyrighted material and licencing/agreements for such copyrighted material that your game contains that you yourself put there.
(You wouldn't be responsible if, say, for example, someone modded your game to include copyrighted songs as that would be the other person's liability)
The only way to be absolutely sure you have copyright is to produce your own images and write your own unique, original captions.
I hope lawyers can expand upon my points, clarify, provide references in the comments but it should be a sufficient overview for your needs.