The problem is that the voice-to-text engine it uses doesn't understand some of the names of the stations.
This is also an issue with some Prime music song titles, artists, albums, etc. Alexa does NOT understand everything. Also is an issue with TuneIn sometimes, too. In this case, I find another way to ask, like the station "nickname" (e.g. Jazz Wyoming) works, or the call letters, or the frequency. If iheart has different ways to refer to the same station, try them all to find what works best. Then ADD the station to your Favorites in Alexa app and select station that way if all else fails.