It gets the power feed from the interior lighting circuit. There are a few different radios and you can see the wiring diagrams linked in my sig "2nd gen wiring diagrams", but the most basic radio I see, happens to have the interior lighting on radio connector pin 1, so with the headlights on, you should be getting 12V on that wire. On some premium radios that is on pin 5. Edit: Also check the ground for that, which is radio pin 11 (base radio) or pin 6 (premium).
Do your other interior lights come on, for example the driver's door window & lock buttons, or steering wheel buttons, or dash?
Anyway if you are getting 12V input on the correct pin for your model radio, and good grounds, then you'd need to trace the circuit in the radio, might be a solder joint or circuit board crack. Seems like I vaguely recall there have been a few people that had their circuit board crack where the station preset buttons are, but I don't recall if that takes out all the bulbs that should be lit with the interior lighting system.
Besides the radio diagrams in my sig, I also have an extra large diagram where I merged two together for easier reading, of the interior lighting circuit. Attached. If you aren't getting 12V on the radio's interior lighting pin (with headlights on), then it is time to trace the circuit backwards using the diagram.