They converted the original synthesiser music in the game into midi files for the collectors edition, so, in essense what you hear when you play UFO collectors edition are midi files (I know it sounds awkward
Try opening up a midi file in media player or winamp or whatever you've bound your midi files to. If you can hear that, try leave it running and start up your game. If you can still hear the music playing -- well, then you can just alt-tab between the game and your music player (ones with playlists would be preferable) to change the music at your leisure.
It's not the best solution, but it is one.
The midi files are stored under the 'sounds' folder in the directory you installed the game.
NKF, narrow minded fuddy duddy who refuses to let go of the past and will not accept anything newer than 1979.