Covert communication prevents legitimate transmission from being detected by a warden while maintaining certain covert rate at the intended user. Prior works have considered the design of covert communication over conventional low-frequency bands, but few works so far have explored the higher-frequency millimeter-wave (mmWave) spectrum. The directional nature of mmWave communication makes it attractive for covert transmission. However, how to establish such directional link in a covert manner in the first place remains as a significant challenge. In this paper, we consider a covert mmWave communication system, where legitimate parties Alice and Bob adopt beam training approach for directional link establishment. Accounting for the training overhead, we develop a new design framework that jointly optimizes beam training duration, training power and data transmission power to maximize the effective throughput of Alice-Bob link while ensuring the covertness constraint at warden Willie is met. We further propose a dual-decomposition successive convex approximation algorithm to solve the problem efficiently. Numerical studies demonstrate interesting tradeoff among the key design parameters considered and also the necessity of joint design of beam training and data transmission for covert mmWave communication.