There are a few things that will left in the whey to think about.
Protein - Probably not head forming protein. You might want to do a protein rest, maybe not.
Fat - how much depends on original percentage of the milk and if it was homogenized or not. May affect head retention, may feed the yeast.
Lactose - will add a little sweetness and body to the finished beer.
I haven't tested it and can't give you specific advice other than to give it a try and see what happens.