In audio, the amount of information you need to transmit is naturally limited by the audio bandwidth (for FM truncated at about 15 kHz), so the useful signal bandwidth is fixed. Hence, if you transmit the same audio band over a broader channel of frequencies, you can tolerate more noise; or, for the same density of noise in the channel, you can get better SNR at the output. This is exactly what FM does. It uses the information multiplied in the most of that 200 kHz channel and projects it on 0-15 kHz band.
While you are right that a wider channel captures more noise in total, noise does not add up the same way as useful signal, because it’s random. Doubling the channel width only increases the amplitude of noise by sqrt(2).
There is no “magic noise rejection” coming from different ways of modulating the signal if all other things are the same. You can’t remove noise; you can’t magically increase SNR. If anything, FM makes the noise more pleasant to listen to and perceivably quieter by spreading non random, irregular noise over the whole band so it sounds more like white noise.
But it also allows to use wider channels, and increase the fidelity of the signal, including increasing SNR. But that’s thanks to using significantly wider channels than audio.
Also, it’s not like FM can use wider channels because of better SNR. FM can use wider channels because of how this modulation works - the spectrum of FM signal can be arbitrarily wide, depending on the depth of modulation. AM cannot do that. It only shifts the audio band up (and mirrors on both sides of the carrier). It can’t “spread it”.
Btw: this is a very similar phenomenon as when you average multiple shots of the same thing in photography, eg when photographing at night. By adding more frames (or using very long exposures) you obviously capture more total noise, but the amount of useful signal grows much faster because signal is correlated in time, but noise is not.