I don't know if this will help, but some people who are psychic receive their information through sound, just as other people may receive it through the other remaining senses. It could be a spirit who is trying to make their presence known through music.
Likewise, there are also many myths involving music and the fae that may be worth looking into. I myself heard strange, unearthly bells in my backyard when beginning to research faerie magick. I don't know if there was any connection, but it seems like it may have been the same type of experience you had.