Uh...the short answer is no. Technically it does a little because all electronics run on the battery, and the battery is charged by the alternator, which is run by the engine. So more electricity being used, the more the alternator has to pull on the engine to recharge the battery. But the amount is so minute you couldn't even measure a difference if you turned your music off.
yes...here's my theory...
depending on your music choice, you will either drive slower, like cruising speed which will save you gas, or it will pump you up so you wanna step on the pedal more, therefore decreasing your mpg.