I believe it was a movie from the 90's.. The premise was:

There's this outlaw couple (Kinda like Natural Born Killers) that kidnap this guy and take him out to the desert. There's even this scene where the male kidnapper makes this guy start digging a grave where he is to be buried and is dancing with his gun while the poor guy starts digging. Any clue? Saw it like 13 years ago.

The lady starts falling for the kidnapped victim... Even asks him to give her the "Big O"

No, it isn't weekend at bernies.