Wearing womens stockings may not protect you from box jellyfish but will certainly make you look nice.

Off the top of my head, it's possibly a partial myth.

Although they do have suits you can wear to protect against Jelly Fish stings. Clearly barrier protection is effective.

So I suppose the myth portion comes from the efficacy of different types of stockings.

Fishnets probably dont do much good.... Super thick ones of a quality material probably do work!

I'm not sure of the sting mechanism of jellyfish and what level of barrier protection would work.

Not a myth. The stinging cells work not by mechanical touch but in reaction to chemicals on skin. Pantyhose apparently prevent the contact with skin which would trigger the stinging cells.