I don't think that you are going mad, bt it does sound like you are experiencing auditory hallucinations if you are actually hearing the music. The first thing I would do is see a neurologist for a thorough work up to rule out any organic reasons for hearing the music. If the results should come back negative, I would then get a psychiatric evaluation. The physician may choose to use one of a number of medications. I am assuming, because you did not say otherwise that this is the only symptom that is occuring. Just to share with you that several of my patients with auditory hallucinations have tried using their Ipods, etc to drown out the msic and unfortunately it has proved totally ineffective. I hope this information has been usefl to you and wish you the best.
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Given that, I would think that you are having hallucinations, If you are seeing a psychiatrist then I would definitely report these events to him/her. With severe depression, these types of events some times occur and require different medication from the antidepressant that you are taking. In addition, Mirtazapine has been known to cause mild psychedelic effects and so it may be a factor. Again you should speak to your prescribing physician.
Best wishes and good luck!