he could have been shedding like mentioned or it could be stuck in his mouth or the millipede could have bit him. If he continues to do it I would try to open his mouth and see if you can see anything in there. Either then that just keep an eye on him but I imagine he will be ok, could have just had a hard time swallowing it for some reason or it could have a had a weird taste that he didn't like and that was his way of telling you. For the future if you just found the millipede around the house I wouldn't do that to often, wild caught feeders could pass things on to your frog like parasites.