Playing song live (2,3)
I believe the answer is:
on air
'live' is the definition.
(as in broadcasting live on air)
'playing song' is the wordplay.
'playing' becomes 'on'.
'song' becomes 'air' (I've seen this before).
'on'+'air'='ON AIR'
(Other definitions for on air that I've seen before include "Radio show might be" , "Broadcasting studio sign" , "put out" , "Live broadcast" , "Cushioned" .)