I think trying to get millenials to tune in to news on an FM station would require a tremendous amount of promotion (millions in TV ads, huge billboard campaign, direct mail, web ads, etc) and may not yield significant results.
I'm a Boomer, not a millennial, and even I wouldn't listen to an FM news station even if we had one. (WTIC is one of those N/T AMs that has no place to go on FM because Entercom's existing FMs in the market are doing very well in their current music formats.) I check out Google News first thing in the morning, then various local/state media sites. WTIC does a big block of news in late afternoon/early evening, but I've already read or seen everything in that news block online during the day.