We have looked into this. There are a few issues. The temperature differential is typically not significant enough to drive much power from a TEG device... we're talking microwatts at best. The other issue is that the body is really good at dealing with heat loss, and will shut down blood vessels around the TEG device to slow heat dissipation through it.
I one implanted a solar panel under the skin to see if subdermal photo-voltaic could be used, and the results were promising.. but it won't be a reality until we have efficient cells that can utilize infrared photons where each photon impact results in electron release. We currently have panels that require multiple photon strikes to release a single electron, and that's not efficient enough.