You may be imagining dead bone, like that in displayed skeletons. Bone, in our bodies, is alive. It has blood vessels, it regenerates and can have innervation. Such bone has conduction channels.

But it is true. I don't know what the current paths are - but to activate neurons very tiny current densities are needed, so probably even though the bulk of the current flows along the skin, the little that leaks into the brain is probably what is cause whatever effects are seen.