In theory if you put the milk in first, then pour the water / coffee in slowly, the milk warms from cold at a uniform rate. If you dump the milk into the hot water, the thin "stream" of milk gets heated instantly by the hot liquid. It does change the taste / "milkiness" of the coffee slightly.
Of course, the fact that you're talking about the coffee "dissolving" means that you're not talking about actual coffee at all
so it probably doesn't matter either way.