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Lúthien clearly had a magical power accessible via her singing:

  • In Lay of Leithian Canto XIII, Lúthien manages to sing Morgoth (and all the fires around) to sleep.

  • Later, Lúthien swayed Mandos with her song:

    Their spirits were gathered in the Halls of Mandos in the Uttermost West, and there Lúthien sang a song of such extraordinary power and beauty that it moved even the implacable heart of Mandos himself. So she was granted a unique fate, to become mortal and return to Middle-earth with Beren, where they dwelt for a time in happiness on the green island of Tol Galen in the River Adurant.

Question:

Did Tolkien explicitly indicate the connection between in-universe power of Song as exibited by Lúthien; and Ainulindalë's explanation that the whole of the universe was sung into existence via The Music of the Ainur under Eru's direction?

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Not really. Connections are made between music and the powers of the Valar, as in the published Silmarillion (emphasis mine):

[W]hen Valinor was full-wrought and the mansions of the Valar were established, in the midst of the plain beyond the mountains they built their city, Valmar of many bells. Before its western gate there was a green mound, Ezellohar, that is named also Corollairë; and Yavanna hallowed it, and she sat there long upon the green grass and sang a song of power, in which was set all her thought of things that grow in the earth.

The Silmarillion III Quenta Silmarillion Chapter 1: "Of the Beginning of Days"

But there's almost nothing written about the connection between the pre-Creation Ainur and the final World.

It is, however, notable that knowledge of the Music was given to the Elves by the Valar, and thus had to be translated; although not explicitly confirmed, it's entirely possible that the notion of Creation as a musical act was introduced by the Valar as a metaphor, chosen to reflect the power that music had within the Creation itself.

Out-of-universe, Tolkien was almost certainly using music as a metaphor for power; being a non-musical member of a very musical family, he had a certain reverence for the art. Quite a lot has been written on this subject

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