Unfortunately any HTML audio element you added to the current passage (and it's header or footer) is destroyed when the next Passage Transition occurs, this is why your song keeps stopping.
I suggest you change to ChapelR's Harlowe Audio Library instead, which is JavaScript based and includes the ability for audio files to keep playing during a Passage Transition.
You didn't include your story format in the question tags, but assuming you're using the SugarCube story format in Twine, then my answer in this post from a few days ago should help you out.
Have fun! :-)