Jessica admits to a lack of appreciation for music in Act V, sc i, when alone with Lorenzo. He is waxing lyrical about the beauty of music, and she remarks flatly that: 'I am never merry when I hear sweet music'. This may well be due, at least in part, to her strict upbringing by Shylock. We remember how earlier, in Act II, scene v, he ordered her to shut up the house so as not to let in the sound of the ' drum/and the vile squeaking of the wry-necked fife’ from revelers passing by in the street.
Lorenzo goes on to expatiate upon the beneficial power of music, remarking that it is able to calm the most unruly natures. He observes that only dull, mean-spirited, scheming individuals can fail to be moved by music:
The man that hath no music in himself,Nor is not moved with concord of sweet sounds,Is fit for treasons, stratagems, and spoils.The motions of his spirit are dull as night,And his affections dark as Erebus.
Jessica has of course, rebelled against her restricted, gloomy life with Shylock by running away and marrying Lorenzo wholly against her father's wishes. Although she generally seems relieved at having done so, it may be that she is unable to appreciate music even when alone in a romantic setting with her lover, because of a feeling of guilt. After all, her running away can be seen as a desertion; moreover, she took her father’s money and some family heirlooms.
There might be a more superficial explanation for Jessica’s admission of her inability to respond to music, however. In this scene she and Lorenzo are engaged in light-hearted banter, invoking the names of past lovers (ill-fated ones), and also teasing one another; he calls her a ‘shrew’, she labels him faithless. So it might be that when Lorenzo starts rhapsodizing about music, she simply wants to undercut his excessive romantic sensibility.