This never happened with a Sony Walkman:
Wearing the device that is said to put “1,000 songs in your pocket” during a thunderstorm may have sent millions of volts surging through the head of an unlucky Vancouver jogger. The man, who played in a church orchestra and was listening to religious music on an iPod while he ran, was injured when lightning struck a nearby tree, then snaked out to zap him as well.
His eardrums were ruptured, his jaw fractured and he suffered first- and second-degree burns from his chest — where the device was strapped — up into his ear channels, along the trail of the iPod’s trademark white earphones. He also had burns down his left leg and foot, where the electricity exited his body, blowing his sneaker to smithereens in the process.
I think the whole church orchestra is the angle on this one.