Radio waves are responsible for making radios work (not surprising), but not for delivering any sound to us.
Radio receivers and transceivers, via https://en.wikipedia.org/wiki/Radio#/media/File:NX1Z_Radio.jpg
Radio waves – some of the longest wavelengths of light -- are often mistaken for their related cousin, sound waves. Most of us experience sound waves every day as they are what transport sounds to our ears. A key difference between radio and sound waves is the environment in which they travel. Radio waves, like all electromagnetic waves (a.k.a. light), can travel freely and forever in a vacuum. Sound waves, on the other hand, are waves that compress the medium (air, for example) they move through. No air, no problem for radio waves. No air, no sound.
Back to how radios work. Radios carry information by overlaying a person’s voice or music or what have you onto a moving radio wave at a particular wavelength or frequency. This can be done by changing the spacing between the radio waves and it’s called “frequency modulation” or “FM.” If the height of the radio waves is altered, this is “amplitude modulation” or better known as “AM”. Whether FM or AM, radios contain electronics – including transmitters and antennas -- that can ultimately change radio waves into changes in air pressure. This is another way of saying that the radio converts the radio waves into sound waves, which is what we can hear.