If you (community moderator) are asking me to research the market and find a solution for my problem - I will do just that and maybe I'll find a gap in the market (but I'll mention the nano and iTunes subscription service combo to counter that even before I look).
The fact that I have a problem means there is a gap in the Microsoft portfolio today. I have a HTC M8 Windows phone - which has a wonderfully large screen - but is a horrible running companion. I have a Microsoft Band - which has built-in GPS and has freed me from those running aps that required my phone to track my route, etc. I have no need for a telephone or any phone-dependent apps now on my run .... unless I want music on my run...
So if I want to exercise my Xbox Music Subscription on my run I have limited options based on my reading of this thread:
1: Tote around my brick (relatively speaking).
2: Find a used Zune online that matches my desired hardware profile
3: Purchase a smaller brick (but still a relative brick) to take running.
4: Other?
Or I can find and spend money on a Music Service that supports an acceptable hardware profile. (most likely candidate for action here)