Try a volt meter across the antenna inner core and outer braided copper
sheath.
Maybe it's picking up current from somewhere (is it an automatic motorised
aerial?).
Having said that the outer sheath does become live as it acts as the earth
return when the radio is switched on. It's usually connected to the aerial
fixing point by a serrated washer which has to make good contact with the
bodywork.
If you are connecting the antenna with the radio powered up it might spark
as it makes contact with the socket.
The radio should have a fuse though, shouldn't fry it, just blow the fuse.
Years since I was involved but just check that the radio is twelve volt
negative earth.
DaveK.

Beyond me. That's weird. Time to pay a car radio specialist I reckon.
DaveK.