PC engine/turbografx systems do have lower volume than other consoles do. This is normal. I have had many others ask me the same question. Also, some games have much louder music than others do. JJ and Jeff is pretty loud where as the 1st bomberman and battle royal are super quiet.
As mickcris said you might want to find out if someone tapped the audio channels from the wrong place. simply check if you are getting any CD sound. If you can hear CD music then the wiring was done correctly. If the wires were hooked up the the exp port instead there would be no CD audio.