You always need a DSL modem between the phone jack and your ethernet device. That's what turns the raw phone line into an ethernet network! Now whether you want to connect an internet radio w/ ethernet port, or desktop, or whatever, directly to that modem is up to you. Most ppl don't because their ISP only gives them ONE public IP and therefore also need a router to share it w/ multiple devices. But I suppose it could be done if you paid your ISP to add a second public IP. But again, you still need a DSL modem between the phone jack and any ethernet based device.
Perhaps powerline might be a better option. Using powerline adapters, you could patch one to your router, the other in your bedroom, then run ethernet to your internet radio. IOW, use your power wiring as an ethernet network.