AM radio is such a simple modulation scheme that even a piece of grass can be used to demodulate it, with enough power. https://www.youtube.com/watch?v=b9UO9tn4MpI

One of the transistors in the early stages of the amplifier (or effects pedal) acted as a detector for the AM signal probably being picked up by a cable that worked as an antenna. It worked essentially as a untuned crystal radio followed by a powerful audio amplifier. The problem usually is a result of bad grounding or screening.

Well, this article [0] shows a guitar FX pedal design that can be used as a radio receiver. Maybe you could get a shortwave radio signal?

[0] https://acidbourbon.wordpress.com/2021/04/11/a-74xx-defined-...

Mine picked up Cuban AM radio on cloudy nights. Never figured out how to tune it, though.

(The stations, not the guitar)

Same happened with simply a cable plugged, I think the jack cable acted as an antenna.

The length of the cable would be a multiple of the right frequency or something like that, it'd catch a random AM radio