Extremely unlikely. It is a TENS device which is sued to electrically stimulate the neural path to the brain. Usually such devices are applied either at the site of the pain, or on a neural pathway between the pain site and the brain.
As the main of a migraine actually originates within the brain (due to expansion and contraction of the blood vessels), there isn't really anywhere that you could apply it.
Here are the areas where you should never apply the electrodes:
The side or the front of your neck
Your eyes or your mouth
Your heart
Your temples
Areas of reduced sensation
Broken or damaged skin
Varicose veins