This may have something to do with the way you are constructing your connection. If you are using the default constructor on the DataContext, then it will attempt to find your connection string from the config file:
MyDbContext myContext = new MyDbContext() <- this uses the default constructor
myContext.Database.Connection.ConnectionString = "_conn_str_"
If you pass the connection string in the constructor, then you should not need the config file entry:
using (MyDbContext myContext = new MyDbContext("_conn_str_")) {
// the above line should not need an entry in the config file
}
Hope this helps.