I am using Audacity on a PC to record wav from a turntable wired via USB from the turntable to the PC USB. I noticed after recording an album, that a local AM radio station tower, less than a mile away, was also recording. I unplugged the USB, and retested. Audacity still receives an aduio signal from the AM station when in record mode.
How do I shield the PC from picking up this AM signal? I do not think it is Audacity at fault, but the PC. How shield the PC?
This is a tough one. 
It’s probably getting-in through the phono pickup, then being “detected” (converted to audio) “accidently” by the phono preamp.
I don’t know of a filter for this, and presumably the preamp is built-into the turntable (required on USB turntables). That means you can’t put a filter between the pickup and preamp.
Maybe try rotating the turntable 90 degrees, which might increase or decrease it but probably won’t cure it, Or maybe try to rig-up some kind of metal shield between the turntable and the direction of the antenna.
You’re right, it is not a software issue. But any of the equipment involved could take up these signals - not only your PC.
You could try to build a Faraday cage around the equipment. But since your equipment all needs electrocal power, the Faraday cage would not protect you 100%. The disturbances could also come from your power wires within (or outside) your bulding…
Many many years ago, when I was young, radio stations closed down around midnight and re-started transmitting at about 5 am. So this would have been the time for your recordings. But nowadays they transmit 24/7…
Thoughts…
Radio stations generally are operating 24 hours, but some are mandated to operate at different power outputs at different times of the day. They used to adjust it manually, and some probably still do, but I would guess that it is automated now. When they had to do it manually they would often tell the listeners that the output was going down and that they would have to turn the volume up on the radio to compensate. So radio interference may be different depending on the time of day the recording is made.
My first thought was to try a Faraday cage myself, and it’s not as difficult as it used to be because people are paranoid about blocking the RFID response from their debit cards. I bought such a wallet not too long ago, and when it arrived it was like a foot long. Too big for my needs, but it would be perfect for this situation.
Using a ground loop noise isolator cable might help too. The problem they are supposed to cure is to remove the 60 cycle hum from a ground loop, but I have read reviews from people who have said it helped cure crosstalk problems as well.
I thank each and everyone for responding. I decided to try using my HP ProBook 640 G4 laptop instead of my el-cheapo HP SFF desktop for the recording. The ProBook is better shielded and does not play the radio station as it recorded using Audacity. But of course, there was another issue to resolve with the use of the ProBook to record. USB for audio recording is setup on the ProBook, but it is always involving the microphone array on the ProBook. I found no way to setup the USB audio to be used without the microphone array in the sound settings. My ultimate workaround was a piece of blue painters tape over the microphones flanking the webcam lens. Crude solution, but it worked to suppress the microphone input while allowing the recording of the audio input without the microphone noise.
I am not a Windows expert, but this seems to be quite unusual to me…
When you set up Audacity, you need to define the input source in the audio settings. If you have some “external sound card” (or this is built into your USB turntable), plug it in and turn it on before starting Audacity and then select it - it is probably named something like “…USB…”. Audacity should not take any other input than what is selected there.
In Windows, I saw something called “audio mixer” on some devices - you may need to play around with this.