No reason to try it to tell you it's a bad idea. Here's a few reasons:
1. Wild rats are often vicious by nature (having to spend their lives hiding from wild predators). Domestic rats are bred for tameness. Your bp can take down a wild rat/mouse but why expose it to the fight and probable bacteria laded claws?
2. Speaking of probable bacteria... wild rats are known for carrying pathogens. You are introducing all kinds of potential problems, not only to your bp, but to your human family by bring a wild rat into your home. I've put down an entire tub of rats because a wild rat chewed through two 2x4's, got into my rat building, and put a hole in a tub. I didn't know if interchange happened but it seemed likely.
3. Domestic rats are cheap and plentiful... why feed a wild one at all?