I GOT IT!
I struggled for 3 hours but I finally got it!
Here is what I did: (Uninstall Nokia Music from your phone before you begin)
1. Change your live accounts region to UK
2. Set your phones region to UK from Settings - Language&Region
3. Delete your Nokia Account from your Lumia 920
4. Remove your SIM Card
5. Restart your phone
6. Connect to WiFi, download and install Nokia Music from the Store
7. Restart your phone
8. Open Nokia Music, click Settings and turn off location
9. Go to your phone's Settings - Location Services and turn them Off
10. Open your Nokia Music - everything should be fine
11. Insert your SIM Card (it will tell you that its invalid)
12. Restart the phone
13. Enter your PIN and open Nokia Music
Worked for me like a charm! If this doesn't resolve your issue just try some variations and make sure you have changed all your account's locations and turned off any settings that may lead Nokia to find your phone
PS: Share the solution cause I saw a lot of people have the same issue!