Invalid object name 'dbo.__MigrationHistory' using Database.Create; EF6.02 when connection string is passed in

This happens because EF does some probing for the __MigrationsHistory table. For instance you can use EF with an existing database that was not created using EF Migrations but EF has no way of knowing it so it tries to connect to the database and uses the table to check this. If the table does not exist an exception will be thrown. EF then catches the exception and does the right thing (e.g. creates the __MigrationsHistory table if needed or proceeds without using migrations).

In general you won't see this exception when running without the debugger. However when debugging your code AND when the option to break the execution when an exception is thrown is set you will see all the exceptions that are being thrown even if they are internally handled and never reach your code. The default setting is not to break when the exception is thrown but only when an exception that is not being handled is thrown. You can change the setting by checking/unchecking a check box in the "Thrown" column in the Debug -> Exceptions dialog.

In VS 2017 you open exception settings using Debug->Windows->Exception Settings. If you right-click on the "Common Language Runtime Exceptions" you can select the "Restore Defaults" which disables breaking your program when most of the exceptions are thrown.

You can turn off code first database initialization for your database, by adding this to your context's constructor:

System.Data.Entity.Database.SetInitializer<YourContext>(null);

This should prevent the attempt to access dbo.__MigrationHistory.