Good point, a harness fuse would not explain the issue with the interior lights. You might check the AutoZone website, Repair Information section, for a wiring diagram for the radio. I don't have any of the factory service manuals for that generation of Ford Truck.
You're going to need a wiring diagram for the radio and start testing for voltage at various locations. Maybe the Accessory Delay relay picked this opportunity to fail. I'm not sure they used Accessory Delay relays in 1994 Explorers though.
-Rod