После закрытия окна PyQt5 музыка не перестает играть

void QWidget::closeEvent(QCloseEvent *event)

Этот обработчик событий вызывается с данным event, когда Qt получает от оконной системы запрос на закрытие окна для виджета верхнего уровня.

Вы можете переопределить эту функцию, чтобы изменить способ, которым виджет отвечает на запросы закрытия окна.

import sys, os
from PyQt5 import QtCore, QtGui, QtWidgets
from PyQt5.Qt import *
from PyQt5.QtMultimedia import QMediaPlayer, QMediaContent, QMediaPlaylist
# ???from openpyxl import load_workbook


class Ui_cityquestion1(object):
    def setupUi(self, cityquestion1):
            cityquestion1.setObjectName("cityquestion1")
            cityquestion1.resize(1223, 800)
            cityquestion1.setStyleSheet("background-color: rgb(255, 255, 255);")
            self.task = QtWidgets.QLabel(cityquestion1)
            self.task.setGeometry(QtCore.QRect(0, 0, 1231, 81))
            self.task.setStyleSheet("color: #000;\n"
    "font: 24pt \"MS Shell Dlg 2\";\n"
    "border: none;\n"
    "color: white;\n"
    "background-color: rgb(214, 146, 255);")
            self.task.setAlignment(QtCore.Qt.AlignCenter)
            self.task.setObjectName("task")
            self.answer1 = QtWidgets.QPushButton(cityquestion1)
            self.answer1.setGeometry(QtCore.QRect(240, 520, 291, 81))
            font = QtGui.QFont()
            font.setFamily("MS Shell Dlg 2")
            font.setPointSize(24)
            font.setBold(False)
            font.setItalic(False)
            font.setWeight(50)
            self.answer1.setFont(font)
            self.answer1.setStyleSheet("QPushButton{\n"
    "border: none;\n"
    "color: rgb(0, 0, 0);\n"
    "font: 24pt \"MS Shell Dlg 2\";\n"
    "border: none;\n"
    "color: white;\n"
    "background-color: rgb(112, 107, 255);\n"
    "border-radius: 10px\n"
    "}\n"
    "\n"
    "QPushButton:hover{\n"
    "border: none;\n"
    "color: rgb(0, 0, 0);\n"
    "font: 24pt \"MS Shell Dlg 2\";\n"
    "border: none;\n"
    "color: white;\n"
    "background-color: #00FFFF;\n"
    "border-radius: 10px\n"
    "}\n")
            self.answer1.setObjectName("answer1")
            self.answer2 = QtWidgets.QPushButton(cityquestion1)
            self.answer2.setGeometry(QtCore.QRect(690, 520, 291, 81))
            font = QtGui.QFont()
            font.setFamily("MS Shell Dlg 2")
            font.setPointSize(24)
            font.setBold(False)
            font.setItalic(False)
            font.setWeight(50)
            self.answer2.setFont(font)
            self.answer2.setStyleSheet("QPushButton{\n"
    "border: none;\n"
    "color: rgb(0, 0, 0);\n"
    "font: 24pt \"MS Shell Dlg 2\";\n"
    "border: none;\n"
    "color: white;\n"
    "background-color: rgb(112, 107, 255);\n"
    "border-radius: 10px\n"
    "}\n"
    "\n"
    "QPushButton:hover{\n"
    "border: none;\n"
    "color: rgb(0, 0, 0);\n"
    "font: 24pt \"MS Shell Dlg 2\";\n"
    "border: none;\n"
    "color: white;\n"
    "background-color: #00FFFF;\n"
    "border-radius: 10px\n"
    "}\n")
            self.answer2.setObjectName("answer2")
            self.answer3 = QtWidgets.QPushButton(cityquestion1)
            self.answer3.setGeometry(QtCore.QRect(240, 650, 291, 81))
            font = QtGui.QFont()
            font.setFamily("MS Shell Dlg 2")
            font.setPointSize(24)
            font.setBold(False)
            font.setItalic(False)
            font.setWeight(50)
            self.answer3.setFont(font)
            self.answer3.setStyleSheet("QPushButton{\n"
    "border: none;\n"
    "color: rgb(0, 0, 0);\n"
    "font: 24pt \"MS Shell Dlg 2\";\n"
    "border: none;\n"
    "color: white;\n"
    "background-color: rgb(112, 107, 255);\n"
    "border-radius: 10px\n"
    "}\n"
    "\n"
    "QPushButton:hover{\n"
    "border: none;\n"
    "color: rgb(0, 0, 0);\n"
    "font: 24pt \"MS Shell Dlg 2\";\n"
    "border: none;\n"
    "color: white;\n"
    "background-color: #00FFFF;\n"
    "border-radius: 10px\n"
    "}\n")
            self.answer3.setObjectName("answer3")
            self.answer4 = QtWidgets.QPushButton(cityquestion1)
            self.answer4.setGeometry(QtCore.QRect(690, 650, 291, 81))
            font = QtGui.QFont()
            font.setFamily("MS Shell Dlg 2")
            font.setPointSize(24)
            font.setBold(False)
            font.setItalic(False)
            font.setWeight(50)
            self.answer4.setFont(font)
            self.answer4.setStyleSheet("QPushButton{\n"
    "border: none;\n"
    "color: rgb(0, 0, 0);\n"
    "font: 24pt \"MS Shell Dlg 2\";\n"
    "border: none;\n"
    "color: white;\n"
    "background-color: rgb(112, 107, 255);\n"
    "border-radius: 10px\n"
    "}\n"
    "\n"
    "QPushButton:hover{\n"
    "border: none;\n"
    "color: rgb(0, 0, 0);\n"
    "font: 24pt \"MS Shell Dlg 2\";\n"
    "border: none;\n"
    "color: white;\n"
    "background-color: #00FFFF;\n"
    "border-radius: 10px\n"
    "}\n")
            self.answer4.setObjectName("answer4")
            self.label = QtWidgets.QLabel(cityquestion1)
            self.label.setGeometry(QtCore.QRect(240, 100, 741, 381))
            self.label.setText("")
            self.label.setPixmap(QtGui.QPixmap("questionsimages/city/cityquestion1.jpg"))
            self.label.setObjectName("label")

            self.retranslateUi(cityquestion1)
            QtCore.QMetaObject.connectSlotsByName(cityquestion1)

    def retranslateUi(self, cityquestion1):
            _translate = QtCore.QCoreApplication.translate
            cityquestion1.setWindowTitle(_translate("cityquestion1", "CityQuestion_1"))
            self.task.setText(_translate("cityquestion1", "Toto mesto, hlavné mesto ktorej krajiny ?"))
            self.answer1.setText(_translate("cityquestion1", "Rusko"))
            self.answer2.setText(_translate("cityquestion1", "Bielorusko"))
            self.answer3.setText(_translate("cityquestion1", "Francúzsko"))
            self.answer4.setText(_translate("cityquestion1", "Fínsko"))


class MainWindow1(QtWidgets.QWidget, Ui_cityquestion1):
    def __init__(self):
        super().__init__()
        self.setupUi(self) 

        self.playlist = QMediaPlaylist()
        self.url = QUrl.fromLocalFile("sounds/zvuki_prirody.mp3")
        self.playlist.addMedia(QMediaContent(self.url))
        self.playlist.setPlaybackMode(QMediaPlaylist.Loop)
        self.clock = QMediaPlayer()
        self.clock.setPlaylist(self.playlist)
        self.clock.setVolume(20)
        self.clock.play()
        
    def closeEvent(self, event):                                      # +++
        self.clock.stop()                                             # +++
        event.accept()                                                # +++
        

class MainWindow(QtWidgets.QWidget):
    def __init__(self):
        super().__init__()   

        self.button = QtWidgets.QPushButton('Открыть окно MainWindow1')
        self.button.clicked.connect(self.open_window1)

        self.layout = QtWidgets.QVBoxLayout(self)
        self.layout.addWidget(self.button)

    def open_window1(self):
        self.window1 = MainWindow1()
        self.window1.show()


if __name__ == "__main__":
    import sys
    app = QtWidgets.QApplication(sys.argv)
    app.setWindowIcon(QtGui.QIcon('im.png'))
# !!!
    wd = MainWindow()                                        # MainWindow1()
    
    wd.show()
    sys.exit(app.exec_())