Hey there kimsojborgpedersen!
Thanks for taking the time to reach out here in Apple Support Communities. Based on what we understand, you'd like to save a radio station to favorites using Music. Is that correct?
There wouldn't be a way to add Apple Music radio to favorites, but you do have access to Recently Played for easy access to previous stations you may have enjoyed. You can also create your own station to act as a playlist for access at any time as well. Take a look at the resource below. We would recommend submitting feedback about this feature.
Listen to radio on iPhone
Apple Music Feedback
Warm Regards.