I haven't studied the GP2X hardware, but here's a guess:
To get a radio signal, you'd need an antenna and a coil, a filter and an amplifier. All of which is pretty simple. The problem is once you get that sound signal, there's nothing to do with it afaik. There is no microphone on the GP2X, meaning that whatever audio hardware there is was designed with output in mind, not input. You'd probably have to make the radio digitalize the analog audio and then send it to the USB host.
Again, I haven't studied the hardware that much, so I could be over-complicating this, but if I'm right, this is not a trivial addition/tweak.