Apple in iOS 14.5 and iPadOS 14.5 added a new option to help Siri learn to select your preferred audio apps for listening to music, podcasts, and audiobooks.
The first time you ask Siri to play music, a podcast, or an audiobook after installing these updates, you will be asked to select your preferred app from a list of those you have installed and which support this feature. Siri will remember your selection and will use that service whenever you ask it to play something. So, for example, if you select Spotify to play a song, the next time that you ask Siri to play a song you will not need to specify “on Spotify” to prevent iOS from defaulting to Apple Music. Note that Apple has clarified that this is not a "default" music service setting, and there is no toggle to select a service you want to continually use, but it is a feature where Siri will learn your preferences and adapt to them. Accordingly, Siri will occasionally re-ask for your preferred services to keep up to date.
In this podcast, Thomas Donville walks us through this process and explains how to have Siri change your preferred app at any time.
Amazon Music is not supported
The subject of this comment says it all; I tweeted to amazon about this but don't know if it would be possible for Siri to support such a request as amazon music has Alexa and they are not the so best of friends