Music Mod

It's true it'd simply be easier to make a playlist and listen to it while you play the game, but I'll always encourage those who might be interested in modding to give it a try.

So with that said, if you are interested in making mods, I'd recommend the Wiki modding resources page as a good place to start.[eu4.paradoxwikis.com] In your case, you'll find a music mod creation tool here and that should be of great use :)

Good luck and have fun!