Recent developments in robotics and communication technologies are paving the way towards the use of Unmanned Aerial Vehicles (UAVs) to provide ubiquitous connectivity in public safety scenarios or in remote areas. The millimeter wave (mmWave) spectrum, in particular, has gained momentum since the huge amount of free spectrum available at such frequencies can yield very high data rates. In the UAV context, however, mmWave operations may incur severe signal attenuation and sensitivity to blockage, especially considering the very long transmission distances involved. In this paper, we present a tractable stochastic analysis to characterize the coverage probability of UAV stations operating at mmWaves. We exemplify some of the trade-offs to be considered when designing solutions for millimeter wave (mmWave) scenarios, such as the beamforming configuration, and the UAV altitude and deployment.