If you don't have the listener's request...

...or it doesn't fit your station's format, why keep responding with a vague non-promise of "I'll see what I can do?"  Just say, "I'm sorry, but we don't have that.  Is there anything else you'd like to hear?"  A lot of radio stations won't take that approach because they want the listener to stay tuned as long as possible.  That's short-term thinking, however.  The listener might stay tuned for a while that day, but they'll likely feel alienated after listening for two hours and not hearing their request; after that, you might lose that listener for good.  If you're honest about not having the song, and you offer to play an alternate, the listener might keep listening regularly because you were honest, and they still enjoy the music overall.