I hadn't heard about this. The features and specs on oldsmobile.com mention nothing about an mp3 player for the 2004 model, and I doubt they'd offer it in '03 and not in '04. The features and specs on pontiac.com mention an mp3 player as an OPTION for 2004. I searched on Yahoo a bit and found many reviews mentioning an optional mp3 player for the '04 Grand Am being new. So the '03 Grand Am had no optional mp3 player. If the Grand Am didn't have it, neither did the Alero.
This is something hard to disprove. We just won't ever find proof of it existing, which is kind of like disproving it...
Can't remember who at the moment, but there are some people that work for GM on here that could answer much more definitively.