Did you use the "continue background music" option in any of the scenes properties tabs?
Quick note: it's always recommended to directly add the audio file to each scene & if the file is the same as the previous scene then it will automatically continue without pausing or restarting.
If you save the game on a scene with that option checked then, the next time you load it will either play the background music associated with your menu, or nothing at all depending on what was playing in the previous scene. One of reasons why it's recommended not to use it.
I don't know if that is the issue, but I just figured I would mention it, just in case.
