When a call is in a queue is it possible to have some music between messages?
Of course. What platform are you using - UCCX, UCCE with IP IVR, UCCE or with CVP? All three are somewhat different, although IVR coding in the first two is very similar.
With CCX you can use the Hold and Unhold steps. These will use whatever MoH source is configured on the CTI Ports (or the system defaults if not overridden at the CTI Port level).
An example would look like this:
Queued [Label: QUEUED_LOOP]
--Delay X seconds