My experience over the years has taught me that pocket radios just don't have what it takes to match the sensitivity of larger ones with one exception.
The Sony SRF 37 Walkman. Great sensitivity and selectivity too.
I got mine in 2004 and it lasted well over 10 years until finally failing and that was a sad day.
In Florida, I was able to hear KFI a couple times when the conditions were just right and many other good catches normally reserved for larger radios.
Here's what it looks like, a photo from eBay where they sell used ones.
If you want to go a step up from pocket radio size but still small, I'd suggest the C.Crane Skywave.
The night that our power went out here in Hilo, it was an AM DXing bonanza from the mainland!
Although it's no longer made, they've replaced it with the C.Crane Skywave 2 which seems the same with a slightly different look.