Answer:
Sound waves travel faster in a liquid than a gas, our ears are just not designed to translate the faster moving waves.
Step-by-step explanation:
Sound waves are mechanical waves which travel through vibrating the medium (the "stuff") they're traveling through. This means they actually move faster through materials that are more dense, and will move more quickly through liquid than gas, and a solid than a liquid. However, our ears are adapted to "translating" sound waves in air rather than water, so we don't understand the music well when the waves move through the water.
A similar idea explains why our vision is blurry underwater; light waves travel at a different speed (slower, not faster!) in water and our eyes perceive this change in speed as blurriness.