Most squid species are a nightmare to keep in captivity, but I've heard of people having some success with bobtails (Euprymna sp.) most likely because they act more like cuttles than most squids. Sepioteuthis might similarly be cuttle-like enough that they'd have less problems, but I don't know that anyone's tried it without pro lab equipment, and the people who know this stuff don't seem to recommend it. The arrow squids Steve & co kept had to keep swimming all the time, needed a lot of room, and got sufficiently cannibalistic to eat each other until there was only one left...