Have not done so myself, however, using my iPhone 4S over 3G and using the Pandora app or similar, it will pick up the song you last played.
Just be wary of data usage, otherwise, go crazy on your music selections. One other thing you may need to take into account is that the hotspot device may take a few moments to get a signal (may not be the case but wanted to let you know).
P.S. If the music does not pick up from where it last played, I believe it may just be a preference you need to change, from within the app itself (car has nothing to do with this).