No way is that true. I've heard a rumor that it plays "Sympathy for the Devil" by the Rolling Stones, though- but I also doubt that's true.

It is not true, that is a rumor from before the game came out because David Vonderhaar, in an hour long interview with Gamespot, said that something cool happens if you shoot all the heads off the mannequins on Nuketown in a short amount of time. NGT showed that only music starts playing when you actually manage to shoot all the heads off within the amount of time.