Multi-scene songs in Unity?

Yes it is possible, the idea is that in your first scene you create the player object and add the following in its main script:

private static bool created = false;

void Awake()
{
    if (!created)
    {
        DontDestroyOnLoad(this.gameObject);
        created = true;
        Debug.Log("Awake: " + this.gameObject);
    }
}

This will allow your player to always be alive, therefore the player will continue between scenes...

Yes, it is possible as @Calleth 'Zion' has indicated, however, I would complete it with Unity's own help when writing the GameManager, which is nothing more or less than making a singleton class. Since if you don't do it like this, and in your new scene you also have that object (because you want to try the scenes separately) the objects will accumulate, making you a double audio.

using UnityEngine;

public class SingletonExample : MonoBehaviour {

private static SingletonExample _instance;

void Awake(){

    if (_instance == null){

        _instance = this;
        DontDestroyOnLoad(this.gameObject);

        //Rest of your Awake code

    } else {
        Destroy(this);
    }
}

//Rest of your class code

}