Hello Emily,
I am sure you are eager to listen to the new Lady Gaga album. I have a few suggestions to get it downloaded to your iPhone.
First, I recommend checking to see if the download was interrupted:
If your download was interrupted using your iPhone, iPad, or iPod touch
- From the Home screen, tap the iTunes app.
- For iPhone or iPod touch, tap More > Downloads. For iPad, tap Downloads.
- Enter your account name and password if prompted.
- Tap the blue download arrow to resume.
iTunes: How to resume interrupted iTunes Store downloads
http://support.apple.com/kb/ht1725
If the album still does not download, next I recommend downloading the album from your list of past purchases. Follow the steps in the section titled "iPhone, iPad, or iPod touch > Music" in the article below:
Downloading past purchases from the App Store, iBookstore, and iTunes Store
http://support.apple.com/kb/ht2519
If you are still not able to play the songs, you can report an issue with these purchases using the steps in this article:
How to report an issue with your iTunes Store, App Store, Mac App Store, or iBookstore purchase
http://support.apple.com/kb/ht1933
Best,
Sheila M.