The amateur radio rules prohibit music (except a weirdly specific exception for NASA). Also, HF tends to be really noisy and low bandwidth, not sure it'd be very pleasant for music.

Edit: And another problem that's probably even more important for this use case, most common ham radio equipment is simplex (only one person can transmit at a time). In the VHF/UHF range you might be able to engineer a high bandwidth duplex (or TDM) system, but then your range would be limited to a few miles.