How can I traffic shape Internet radio over UDP ?

udp for the most part is a connectionless protocol - so it's likely unrealistic to try to traffic shape it.  Perhaps the best option in your case is to identify the site or sites that those users are streaming content from and block access to those sites, and if need be you can always use local rating overrides to reclassify a site to a category that you do know is blocked.  Alternately, you can always craft url filters to block such content.  Or if you really want to lock down or control/restrict access is to craft a "catchall" policy that blocks outbound access via non-standard udp/tcp ports.