Bands don't know how to perform every song ever written.
Even if it's the same genre. Even if it's by the same artist.
Let me say that again, in a different way (in case you still don't get it)...
Musicians must not only learn the intricacies of their instrument on their paths to becoming said musician, but then must learn songs ONE-BY-ONE, in order to build up a repertoire. Learning how to perform a song doesn't mean you've now unlocked the ability to play all songs.. To this end, a musician might only learn a couple hundred songs (if that) in their lifetime, and any given ensemble they perform with might not ever learn more than a handful itself...as it takes more than just one person to know the song, and time for an ensemble to polish the arrangement. Therefore, the odds are NOT in your favor, ESPECIALLY if your request isn't a highly requested song. It's not your request they're denying. They're simply letting you know "I haven't spent the time learning that song, and consequently my ensemble cannot perform it for you". End of story. So get over yourself...it's not about you. And humming the damned song or asking them to "quick learn it" (or getting mad about it) just makes for a foolish scene. If they know your song, they're more aware of the melody, lyrics and title than you'll ever be. So save everybody the frustration, including yourself, by embracing the same humility as you approach to request your song (please, do this on a set break and not during their show), as they must when hearing said request. Trust me, they hate it when they can't play your song, either.