When I first saw this I thought it looked like green screen for certain. But looking closer I don't think that it was.

Lighting doesn't mean green screen. Lights and reflectors are used on location all the time - There's obviously lighting used in the foreground in addition to the sun lighting the scene behind but that doesn't mean that it wasn't shot on location with extra lights or reflectors added. The angle of the sun on the scene would leave the subjects in dark shadow so they added lights. Doesn't seem that unusual.

If this WAS shot on a green screen then they've done a good job with the shadows from the subjects. They fall over rocks and sand so either: A: They had a partial set which stops a few feet back and this is on top of the green screen, (conveniently behind the subtitles) or, B: they generated shadows by duplicating the video layer of the subjects, flipping it on the horizontal axis by 90 degrees and colour corrected it to make it black and semi-opaque. They did all this to go to the trouble of adding shadows that contradict the shadows in the background. Seems an unusual choice.

The strongest evidence for it being green screen seems to be the jaggies (artifacting) on the knife edge and on 'john's back in the thumbnail which resembles a 'bad key' where we see the chroma-keying software confused and displaying part foreground layer and part background layer. But this can also be explained by macroblocking from an mpeg encode where some pixels from a previous frame are present in the subsequent frame or by line skipping when downresing from the HD original. It looks to me like there's also been a standards conversion from PAL to NTSC or vice versa which is leaving a 'ghost' effect during fast movement due to adding new frames generated from previous and next frames. (ie f1+f3=f2)

I've done a shit load of green screen work and I wouldn't be confident to say this is definitely green screen. Of course it COULD be but for me the evidence suggests it was shot outside, quite late in the day with additional lighting.

That doesn't mean that those producing the video were or were not genuine kidnappers/militants of course.