I don't know much about Arduino, other than that it's a very popular development platform for electronic projects, and I've seen some pretty impressive projects done with it. Maybe I'm in the wrong place, but here goes
I'd like to create an USB key, mainly to be used in my car which has a radio but no Bluetooth. I wonder if I can create an Arduino USB that can be like a Bluetooth key which transfers music from phone to the car radio.
Don't even think about it.
All your problems lie in the car radio. If you knew how to get into that, you wouldn't be asking the question and I imagine modifying the radio would be quite impractical, unless it was very old.