You can import digital audio clips stored as audio files or tracks in video files. Digital audio is stored on computer hard disks, audio CDs, or digital audio tape (DAT) as binary data readable by computers.
But you can't add songs from Apple Music to Premiere clips. You can use the actually purchased files in AAC format. Cloud copies or Apple Music tracks will not work.
You can try to download Apple Music to digital audio files so that you can import the downloaded tracks to Premiere projects.