Can music tell a story? If so, how? Give examples?

Yes, definitely. Some obvious examples are:

Candle in The Wind by Elton John
Bohemian Rhapsody by Queen (famously, and other songs written around this time)
Ol' Red by Blake Shelton (and other country songs)

Te following songs are ones where one could argue that a story is being told:

The A Team by Ed Sheeran
Eleanor Rigby by the Beatles
Buffalo Soldier by Bob Marley
Viva la Vida by Coldplay
Love Story by Taylor Swift
I Took a Pill in Ibiza by Mike Posner

Paparazzi - Lady Gaga
Telephone - Beyonce, Lady Gaga

When Lady gaga got arrested for killing her bf in paparazzi, Beyonce came in to help her in telephone.

Is that a story or is that a story?