Custom wave frequency for car radio
... if it was possible to somehow generate radio waves in the frequency range of the car receiver, so I could for example connect my phone with Arduino (e.g. via Bluetooth) and transmit audio in a custom frequency so the car would receive it as if it were regular radio station.

Arduino will not help you here. It doesn't, on its own, do Bluetooth, audio or radio frequencies. Its processor is too small and too slow.

Figure 1. Random Bluetooth to FM transmitter from Light in the Box.
These types of devices are readily available and usually contain a Bluetooth receiver and FM transmitter. The one pictured also features USB charging ports and a digital display of the FM channel selected and what appears to be a hands-free phone interface.