It seems that exe to mp3 conversion would make sense in two scenarios. First and foremost would be the case in which the exe file is basically a wrapper of a simple media player with .mp3 song attached, so when you execute the file the song will play. This was often done in the past and unless you know which program did wrap the .exe file in first place, it will be very hard to determine way to convert exe to mp3, i.e. recovery of the song is possible.
Sometimes self-extracting compressed archives (also .exe) may contain MP3 song, in which case you can simply decompress the .exe file to get your file.Open EXE file Open MP3 file