¿Las polilíneas no son transparentes? Las políneas son solo conjunto de líneas. Debería servirte.
También podrías dibujar simplemente línea por línea.
I can give you a solution using the Winbdows API. You simply set the brush to NULL_BRUSH (which is what is used to fill the polygon). With the API you do it this way: SelectObject(hdc, GetStockObject(NULL_BRUSH)); that will produce transparent polygons (or any other shape that uses a brush to fill the enclosed area/region.)
Hopefully someone that knows components can help you with how you set that into the Canvas (which should be just a handle to a device context.)
Another way would be to use PolyLine or PolyPolyline. Those don't fill the resulting area, therefore you don't even need to set the brush.
Hopefully someone else can help you implement that in the component you are using.