Arduino accidentally transmitting FM
You're probably generating or monitoring the audio with a class D amplifier or other PWM system.  This is the amplifier equivalent of a buck power supply, using the duty cycle of its switched output to modify the effective instantaneous amplitude.  Many are unfiltered, and the leads to earphones or other circuits make excellent antennas.
Although they largely operate in the sub-MHz range, they can generate an impressive comb of harmonics easily reaching into FM broadcast or shortwave bands and be picked up by radios.
Now, modifying the duty cycle in accordance with the signal is actually an implementation of phase modulation, the lesser known cousin of frequency modulation.  It's close enough that it can be detected by most FM receivers, if the bandwidth of the switched signal multiplied by the harmonic number is still within the channel spacing of the receiver.
And voila! you're an FM broadcaster on multiple channels at once!  Mr. Microphone could only wish for such power.