jess-ica,
The way to do this in Keynote is to make seperate Keynote files for each music segment and then link the files using a hyperlink. Music (or any sound file) can play across slides only when placed in the Soundtrack Well of the Document > Audio Inspector. Also, only one sound file is allowed per Keynote slideshow to play this way, thus the need for additional Keynote shows.
Take your existing presentation and in the Navigator, select the few slides that need one song > Cut the slides and then open a new Keynote and in the Navigator, Paste > Save. Repeat for any other musical segments. In the musical segments place your music in the Document > Audio > Soundtrack Well and adjust volume, etc. > Save as needed.
In your original Keynote, on the last slide before the music, place an object and assign a hyperlink to the next "musical" segment: with the object selected > Hyperlink Inspector > Enable Hyperlinks (checked) > Link to: > Keynote Slideshow (pulldown) > Select your "musical" Keynote segment file; repeat for the second segmant, only here the object must be on the last slide of the preceding "musical" slideshow.
Set your linked slideshows to start automatically Document > Slideshow Settings > Automatically Play Upon Open (checked). Also, before you start your presentation you may need to open all files in the background otherwise you may just see the followon slideshow for a brief moment and nothing else happens.
Note: Hyperlinks to slideshows can only link to the first slide of a file, so you can't hyperlink out and return to the middle of a show. It just won't work.
Good Luck