There's not an exceptionally "easy" way of doing it, but it's possible...if the cave you're looking at has had some important world-gen events occur in that cave (e.g. the death of a resident megabeast)
I've created a new Small world just to try this out and try to help walk you through it, OK?

So, I've gone into the Legends menu and looking through the Sites, I've decided that I'll try to find a cave called "The Heart of Seals"
I hit enter while that's selected and it gives me the cave's history. It's seen a lot of use - a hydra lived there from 1-16, an ettin from 16-22, a minotaur from 22-31, a second minotaur from 31-57 and a giant from 61-100 (world-gen end). What we're looking for is deaths of these beasts that occurred in this cave, as those are considered as important events in world gen. So, these are the records I'm wanting...
"In 16, the hydra Vedud Strappedspurted was struck down by the human Mapo Secretbunny in The Heart of Seals."
"In 22, the ettin ěddor Pondercastle was shot and killed by the human Acath Kegtakes in The Heart of Seals."
"In 31, the minotaur Issha Grizzlejewel was struck down by the dwarf Iden Relicfriends in The Heart of Seals."
"In 57, the minotaur Etog was struck down by the dwarf Shorast Bluntedlashes in The Heart of Seals."
In this case all of them died in the cave and not while they were out rampaging elsewhere...so, I go out of the Sites menu and go to the world history. 16 (the year that the hydra died) was the last year of The Age of Myth, so I head over there. One of the last important events of that age is "In 16, The Duel of the human Mapo Secretbunny and the hydra Vedud Strappedspurted occurred."
If I choose to view that entry (hit enter when it's the first yellow entry on the page), it'll show me info about that duel, including a minimap which points out the area where this occurred (see the
X in the minimap)...
...you can see other things on the map which can help to point you in the right direction (in particular look for symbols for towns, especially ones that dwarves favour). In this case, I've picked up on the dark fortress to the south, and the dwarven fortress to the west. Flicking through the list of dwarf civilisations, I've found that The Vessel of Constructs owns both of them, and I found both fortresses rather quickly.
Moving my cursor along to the north-east, I now place it in the exact position where that red marker on the minimap was.
You'll notice in my last pic that the 3x3 area where the cave is can be seen in the north-east of the local area. If I didn't select "Make Caves Visible" when I created the world, I wouldn't know exactly where it was, but I'd know it's a 3x3 area somewhere within that 16x16 local area