Comment by tsimionescu

There are some fundamental differences between liquids like water and gases like the air, they're not a continuum - moving from a liquid state to a gaseous state is a phase change, and comes with a huge, and measurable, energy cost (getting 1 kg of liquid water from 0C to 100C takes as much energy as converting that water entirely into water gas at 100C). Note that evaporation is different - it's just tiny bits of liquid water flying away.

Also, any atmosphere can carry any sound wave for at least some distance. It takes more or less energy to do so, and if the medium attenuates rapidly, you have to start with higher frequencies so that the right frequency reaches your audience, but that's it. You need different instruments to play in different atmospheres, sure, but not different music. And electrical instruments actually work exactly the same regardless of the medium.