This would not be useful in general. Thermoelectric converters don't convert heat into electrical power, they generate electrical power from the flow of heat across them. You still need to cool the cold side, or the thermoelectric junctions will just burn up. The low efficiency of thermoelectric conversion means you're only removing a small fraction of the heat to be dissipated in the electrical circuit.
Worse, the thermal resistance of the thermoelectric converter is lowest if it is short circuited, any attempt to use the electricity will interfere with cooling...not a good idea when it comes to rocket nozzles. It would actually make more sense to drive electrical power through the junctions to operate them as a thermoelectric cooler, but the power requirements would be unworkable. Additional problems are the mass of all the thermoelectric material required and the failure modes if the circuit is broken...efficient thermoelectric materials are specifically chosen to have high thermal resistance on their own.
You could perhaps use thermoelectric generation to run some small sensors, but sensors that won't operate until the engine warms up aren't very desirable.