Right click "Sinking Simulator" on steam and click on "Properties"

Example:

Move your mouse over to "Local files" tab and click on "Browse Local Files"

Local Files image:

Now we are into the games files and you should see a "music" folder in one of the folders.

Double click on it and enter.

Example image:

Now that were into the music folder, you can delete these files or insert your own music into the folder. But beware that they need to be in the ".ogg" format for the game to load it.

Example image:

Go to https://audio.online-convert.com/convert-to-ogg and select your files on your computer.

It needs to be an audio file like MP3, FLAC or WAV files. Then click on "Choose files" and select the file you want to convert to an .ogg format.

Example image:

After uploading a file, the website will upload it to their conversion system.

Press "Start conversion" to start the process.
After the process is finished there will open a new window
to save your song in a .ogg format on your computer.

Save the file to the music folder or follow this path in Windows Explorer:
C:\Program Files (x86)\Steam\steamapps\common\Sinking Simulator\music

or wherever you have your steam-folder located.

In my case i used the song called "The Weeknd - Blinding Lights" for my music folder and it works great, see video for reference below.

Example video: