In the macOS Music app, Apple offers no direct method for creating a playlist for a streaming radio station.
This notarized AppleScript applet, PlaylistFromURL, prompts you for the radio station's streaming URL (or sends you to fmstream.org if you don't have it) and creates a playlist in the Music app for it.
The script is fairly primitive, and has minimal error-checking. Please feel free to suggest improvements.
Edward Mendelson (edward [dot] mendelson [at] columbia [dot] edu)