Not on Rhum, but there are a couple on nearby Eigg. Been to Cave of Frances, also known as Massacre Cave. Low entrance leads into large chamber. The story goes that there was a feud in the 16th Century between the MacLeods and the MacDonalds. There was a raid by the MacLeods so the entire population of the island (about 400 MacDonalds) went and hid in this cave. After three days the MacLeods eventually found them, lit fires in the entrance to smoke them out. They all suffocated. Having been in the cave I'd have thought that with 400 crammed in there for three days they'd have suffocated anyway, apart from those near the entrance.