These systems are not very common in a home as they are used often in direct /top vent wall furnaces. Thermostats that run on a millivoltage system rely on very low voltage, usually 750 millivolts (mV) or 0.75 volts. They do not require a step down transformer reducing line voltage of 120 volts to 24 volts as do low voltage systems. Instead they are self powered by a special thermocouple device called a powerpile or thermopile generator that produces direct current (DC). The thermopile is a device with thermocouples connected in series to increase the millivoltage output to 750mV.
These types of systems require a special thermostat and will not work with standard low voltage (24 V) thermostats.