Learn Italian: Lo trasmettono alla radio, questo programma? - Are they broadcasting it on the radio, this program?

This is a great example of 'Right Dislocation.' In conversational Italian, speakers often use a pronoun (lo) to link back to a topic they are already talking about, and then tag the actual noun (questo programma) at the end of the sentence just to clarify exactly what 'it' is.

Since programma ends in -a, shouldn't the sentence use the feminine pronoun la and questa?

No, programma is actually a masculine noun, which is why it takes lo and questo. Many Italian words that end in -ma (mostly of Greek origin) are masculine, like il problema, il sistema, and il clima.

Why do we use alla radio instead of sulla radio to say 'on the radio'?

In Italian, the preposition a is used with mediums of broadcasting. You hear things alla radio and watch things alla televisione. If you used su (sulla radio), an Italian would think you are talking about something physically resting on top of the radio device.

Who is the subject of trasmettono (they broadcast) in this context?

The verb is in the third-person plural, but it is used impersonally here. The speaker isn't referring to a specific group of people, but rather the general broadcasters or the radio station. It is exactly like asking 'Are they showing that movie on TV?' in English.