Any media player that allows you to stream an audio playlist from a link should work. I use MX Player:
https://play.google.com/store/apps/details?id=com.mxtech.videoplayer.ad&hl=en_US
This normally launches the link straight from Twitter or websites when I highlight or click on it.
I believe VLC is also popular:
https://play.google.com/store/apps/details?id=org.videolan.vlc&hl=en_US
To use, click on the menu (three horizontal lines), click on stream and copy and paste the Live show address. VLC should remember the address for future listens (but it occasionally changes).