Audio: Travels through some kind of material (usually air). There is no air in space no one can hear you scream - this is because the sound has no air to travel through.
Radio: Radio is a form of electromagnetic (EM) radiation - (honestly that isn't as complicated as it sounds).
Light, heat, radio, UV, gamma, microwave and x-rays are all forms of EM radiation and therefore usually travel at the speed of light . EM radiation (such as radio) does not need a medium for it to travel. (You may sometimes hear EM radiation referred to as a particle called a photon, rather than a wave - this is just another model of how it works.)