This is a phenomenon called "Audio Rectification". The most likely cause is a dirty cable connector or other poor connection, even a bad solder connection in the audio path.
A dirty connection can form a crude diode, which when coupled to a high-gain audio circuit and a high RF area, can sometimes very efficient demodulate and amplify RF broadcasts.
Try applying some contact cleaner to each plug on your guitar cable and work it in and out of the jack on the amp and guitar to break up oxides that could potentially cause this phenomenon. However, don't keep chasing this ghost, because sometimes, there's no solution.