Could be one of two (maybe three) things...
If the wall-watt is a switched-mode power supply, it may be radiating harmonics of it's switching signal through the air and in to the radio's antenna, or it may be running down the wire and in to the radio.
Another possibility is that there is something else in the house making the interference, and it is being conducted through the house wiring, and in to the radio via the wall-watt...even though the source is not close enough or strong enough to override a signal to the antenna directly.
Try a separate battery powered radio next to the wall-wart and it's DC cord, maybe also with the affected radio unplugged from the cord and turned off. Then, try either one of the radio's, using battery power only, and see if you hear similar noise anywhere else in the house (which would be close to the noise source, probably another wall-wart).