No, cocoa beans themselves don't melt in the traditional sense like chocolate.
While cocoa beans contain cocoa butter, which is a fat that does melt, the bean itself is composed of solid particles. When heated, the cocoa butter within the bean can be released and come to the surface. You might observe the appearance of melted fat, but the solid particles of the cocoa bean remain intact, not undergoing a phase change from solid to liquid. Think of it like heating nuts that contain oil; the oil might seep out, but the nuts themselves don't melt.
Therefore, it's more accurate to say that the cocoa butter in cocoa beans melts, rather than the entire bean melting. Cocoa nibs (roasted and cracked cocoa beans), for example, when heated, exhibit this separation, with the cocoa butter becoming more apparent.