Tonight sounds good, but last night I think on the big band show featured a jazz song that was great, I didnt hear the titel, all I picked up was the word piccadilly, if anyone can tell me the song that would be great
Picadilly Palare - Morrissey?
dirtbag ballet by the bins down the alley
as i walk through the chalet of the shadow of death
everything that you've come to expect

My suggestion is - look harder.

The Big Band show finished in august, so you weren't listening to that. Click on the calendar for yesterday (the 20th), then see what show was playing last night when you were listening. The tracklists for each and every show will be on its page.
Was it the jooles holland show? if not you can re listen to all radio shows on the bbc website id try that!