For back pain, they make "shocking" devices with a more medicinal purpose, called "Tens" units. Tens units work by generating very short pulses through pulse transformers, IIRC. (The pulse transformer raises the voltage of an otherwise low-voltage pulse). The idea behind the Tens unit is to stimulate nerves without having a long enough electrical impulse to stimulate muscles, even if the pulse reaches a muscle (such as, worst case, the heart).
There's a fair amount of info on tens units available on the WWW. You might even find schematics.
I think there are some perscription/licensiing/regulatory issues for medical devices like the Tens unit - the "shocking roulette" doesn't look like it meets any of those. The physical design of the unit I saw on google looks like any current generated would only flow through the finger and not reach the heart.
The "killer" in electricity is any path through the heart. If a path throught he heart is avoided, the main damange mechanism for electrical shock is by heating (burning) as far as I know, but I'm not an expert.
I know pretty much nothing about electronics, but I might have a bit of an insight into this. A friend of mine once had a piezoelectric butane lighter that didn't work properly. Just a valve problem, but of course I had to disassemble the whole thing to see what made it tick. When I put it back together, I inadvertently left out a small mica spacer that apparently shielded the case from the spark mechanism. Got a nasty bit of surprise when I tried to light the thing. :surprised
After I put the spacer back where it belonged, there was no problem.