I have a friend who lives as close as one can legally live to a 100kW FM transmitter. He received a pair of very cheap speakers when he built a new computer but was unable to use them because if they were plugged in the radio signal would come right out of the speakers.
It seemed that the signal path into the speakers was through the input wire (rather than, say, the power cable or the wires between the amplifier and the cone). From what I understand from my undergraduate analog signals course I'm suspicious of the signal actually coming from the transmission tower itself, unless the speakers had just the right configuration to act as a simple diode-rectifier envelope receiver (terminology likely to be incorrect), which I would think of as unlikely for an FM signal.
It may be that the signal came from some other path related to the relaying of the signal from the studio (~1 mi away) to the tower, but I don't know enough about the specifics of the radio station's configuration to say more.