Yes, the HC-06 does support AT commands. I’ve set the name of the device and the baud rate. I just happened to set the baud rate to 9600 (it was 115200).
I now see data but it’s gibberish. So I’m guessing a mismatch somewhere. But on the Photon I’ve changed the baud rate to 9600 (which is how I’m seeing gibberish).