Don't do a death arena, do a death maze. Several layers deep, five or ten, with an entrance at the bottom. Have the exit be into the wilderness.
Key is, fill the things with tamed animals of all sorts. Dragons, elephants, dogs, etc, etc, etc.
Rig the thing up with floodgates, then attach them to random pressure plates around your fortress in fairly busy areas, that way, the pathfinding won't simply find it's way out no problem. Fill the thing with all sorts of wonderful traps, though not of the normal kinds: pressure plates that open floodgates with super nasties behind them, trap doors that lead to inescapable pits, one that locks the room and floods it with water(or magma with a place to drain it off) super interesting traps.
Anyone that escapes, well, you can either set a legendary marksdwarf at the exit to kill any survivors, or you can just let them go for managing to survive.