Using reflector and examining the SongProcessor class it does indeed seem that a matching .wma file must exist in the directory.
Question for anyone on the XNA team - why is the .wma data in a separate file? Could the .wma data also be part of the .xnb file? Is there a workaround that could allow the .wma file to be loaded from a user defined stream instead of a file?
*Edit - Using reflector and looking at the MediaPlayer class it's just hooking into windows media player to play the file, so my guess is that it will be unlikely to be able to provide a custom stream to play.