Got a reply from Lincoln today. Yes they do make and they do sell the grease gun zerk fitting coupler caps (not the caps for zerk fitting's). The Lincoln part number is 271517. You should be able to order them from anyone that sell's Lincoln products. I'll be stoping by my local machinery dealer (who's a Lincoln distributor) and ordering 2 dozzen of them. I'm glad you asked about them because I probably would never have contacted them unless someone else asked.
By the way. If you need the caps for the actual zerk grease fitting's they do have them listed in their online catalog. You can also get them from most any equipment supplier like MSC, McMaster Carr, Gran*** etc...