Blueprints is fine.
I just re-read your post. I’m working on the assumption you have music A for the main menu and music B for the settings, right?
In that case, when you play the music in the main menu ( for instance ), and the player hits a button for the settings, you have to make a note of how far into the music you were and put it in the game instance ( or the player character, or… somewhere else ).
Next time the player loads the main menu, you player music A, but you start from where you left off, which you get from the game instance ( or… )
Does it make sense?