Hmmm
well you know that if the radio is playing and the key is in the RUN position, turing the key to OFF (but leaving it in the switch) allows the radio to continue to play-- this is due to the radio relay that continues to allow radio current as long as the key is still in the ignition switch AND it has been turned on with ignition switch in RUN
Cory check this on your car-- start it, turn radio on, then turn to OFF with the key but leave it in-- radio (not CD player but radio AM or FM) should contineu to play. If it does not, we need to troubleshoot why!