Weird Mistery, without danger involved

Hi, first time here! I will DM monster of the week for the 1st time, using Tome of Mystery.

I had a idea of a Mistery involving a radio that receive a radio transmission from a parallel earth (weird music that doesn't exist here, that kind of stuff). The issue is I don't think it can have any danger to the characters... Just the investigation to find the thing. Any hints or tips to help this story?