A shielded RCA cable (not coax) is 2 conductors, one for ground, and one for signal, plus a 3rd "conductor" which is the shield. The shield will extend the full length of the cable, but only connect on one end. The shield is effectively a Faraday cage preventing RF energy from getting into cables inside of it. Yes, the shield is potentially an antenna. However, if it is connected on only one end, any RF energy should be shunted harmlessly to ground.
If you connect the shield on both ends, and the RF energy generates a large current in the shield, then it could induce a difference in ground voltage which will (or could) show up in the signal on a single ended system. That would also require the stars to align such you had a huge amount of RF and that your audio system converts the RF into something audible. More likely is an electrostatic conduction path which the shield will provide some protection for, or not and/or a magnetic path for which it may provide protection or not. There is more complexity than this and it would take far too much space to put here so I found you a good link. (and RF is obviously both electric and magnetic field).
Most fields have a lot of lore, pass down through the ages, repeated, reinforced, and wrong. Just look at this hobby! Electrical Engineering is no different (and nor is physics). What works in one situation may not work in another, hence rules of thumb often cause bruised thumbs.
This particular link takes a very hard line on cable shielding (not system level noise). From a practical stand point as an end user, you cannot ignore system level noise in order to perfect shielding, but your takeaway should be that unless everything is designed properly (his examples of mil-spec and FAA), then there is no 1 correct way for every instance, only a correct way for your particular instance. I know most of this paper will likely be over your head, but I think perusing it will give you a feel for what the issues:
https://www.emcstandards.co.uk/cable-shield-grounded-at-one-end-only