Apparently the "Sea Swallow" doesn't just feed on Man-O-Wars, but pretty much any larger invertebrate, with our without poison. It says it will even go cannibalistic if given the chance. It also says it's highly toxic due in part to not digesting the toxins of what it eats, but saving it as its own.
It would be "feasible" to keep them as pets if you met many conditions...like...having a supply of surface invertebrates to feed it.
Breeding would probably be easier since they're hermaphrodites.