Based on your message, it sounds like you're referring to a Premium Access session.
If you accept a complimentary Pandora Premium access session (by interacting with an advertisement in order to listen to content on-demand), you'll automatically be transitioned into the Premium experience, which looks a little different from our radio-only or Plus experiences.
These Premium Access sessions allow you to create playlists, or collect songs or albums to listen to right away, rather than waiting to hear them play on a station. However, you'll still have access to all of your stations under My Collection if you filter it by Stations.
When your Premium Access session expires you'll be returned to your normal Pandora app experience, but we'll automatically save your on-demand music collection for your next Premium experience.
You can find out more about how these sessions work here: Premium Access
Could you share a bit more about what is happening when you attempt to listen to songs on-demand?
Are you receiving any error messages? If so, what exactly does it say?