I found a way to play music with openttd.

First install midi-support package with Application Manager.

Second open openttd.cfg and search "musicdriver =" option, and add "extmidi:cmd=/usr/bin/wildmidi"

It should look like this "musicdriver = extmidi:cmd=/usr/bin/wildmidi"

After that, execute openttd, new game, go to music menu and hit play. After a few seconds it should start playing.

Tested with 1.02 from devel with openmsx free music.