Well technically it is possible to patch your jj2 to download music files along the level and tileset, but that would only give you a number of new problems like additional waiting for download, server not being too happy about you lagging it with unneccessary downloads, you would get error downloading file and you'd be unable to join the server, should it not have the music file, etc. You can never have all music files, but it's best if you download them from J2O and create a collection yourself. Most of the players likely have large number of music files in their jj2 folder and it is a result playing, downloading and trying out levels from J2O for long periods of time.

And please don't ask me for such patch. I can't create it for you because I'm an idiot