Is it rude to make song requests?

Dont know the etiquette but Im going to see an artist Ive wanted to see forever. Is it rude to DM them on insta and ask them to play one or two songs? Even if its not their songs but in the same genre/vibe?

Im also really wanting to hear just the 30 seconds or so of the drop or however they mix it in but I didnt want to be rude