The answer at this point is No (If Jeff Wilcox says no, it's no ;-) ).
I asked NCover support this question a while back (about their FAQ re Silverlight):
...I am using Silverlight 2.0 and AFAIK it can only run in the browser. So are you talking about SL3 or have I missed something?
I believe SL3 will be RTMed soon. If I upgrade, will my application be able to run out of the browser (and therefore use NCover) automatically, or will I have to change it to do this?
And this is the response I got:
The FAQ is accurate as it stands, however the wording makes it somewhat confusing. What is meant by the FAQ topic is that NCover does not support covering Silverlight code (v1 or v2 or v3) when using the //iis argument, because then it runs on its own CLR.
However, the code-behind and supporting classes of a Silverlight (v1 or v2 or v3) application are valid C#/VB, so you can write unit tests against that portion of the app and run those tests with NUnit/MSTest/Gallio/xUnit/etc and you will get coverage of that portion.
We have not yet investigated whether NCover can gather coverage on Silverlight v3 when it is run outside of the browser, but I expect that we won't be able to. Once we know for sure however, we will make a note of it in the documentation.
I took this to mean that actually Silverlight apps aren't supported - you have to "Create standard .NET library and link files into it to get the coverage data".