Milroy was born in Maryport, Cumbria, England. He was a journalist by profession.
He was a close personal friend of Arthur Griffith and an early member of Sinn Féin, serving on its national executive from 1909 to 1912. He joined the Irish Volunteers, and in 1915 he was arrested and imprisoned for three months for a speech in which he urged Irishmen not to fight in the First World War. He fought in the Easter Rising in 1916, and was imprisoned in England.
In later years, he made up with his former colleagues and was elected to Seanad Éireann, serving for both Cumann na nGaedheal and later for Fine Gael from 1928 until the Free State Seanad was abolished in 1936. He was re-elected to the new Seanad in 1938, following the 1937 general election but failed to be re-elected following the 1938 general election.