Grammatically, both sentences in your examples are (almost) correct:"in your music collection" sounds better.
"your songs" can have 2 meanings:
- the songs you own;
- the songs you created, performed, recorded...
"your music collection" refers to the entire archive of songs you have (regardless of who was involved in making it).
If you use "your" twice, you somehow put a stronger accent on the following meaning:
You have many songs, but I want to hear the ones where you are the artist.
I also endorse the suggested sentence provided in the answer from @fred2: "I want to listen to the/some songs in your music collection."