At/in/on is really complicated in English.
One rule of thumb is that in is almost always “inside”
For situations like in [place] vs. at [place] (club/studio/room/hotel) in means INSIDE that place only, but at can mean in front of/next to/inside. Example: Let’s meet in the hotel (likely means at the lobby located INSIDE the hotel, and you will be staying there, probably) vs Let’s meet at the hotel (probably means in front of the entrance, and you will be going elsewhere).
Radio is always on the radio (you can’t be inside the radio, since it’s not an actual object, unless you mean in the machine, like there is a cassette in the radio)
At an event (you can’t be inside an event because an event is not a physical thing, it’s a general space and time)
Hope that helps?
Also, sorry for replying like a year late…. I fail.