I appreciate that you would prefer your neighbour use headphones, but they aren't always practical. I have a few sets of good headphones...but when I am working in my studio I prefer to work unfettered. I too had a neighbour(Fire Dept Superintendent) who would play pornography full blast on a loop whilst he was away on night shift...not hard to work out that he did this to simply annoy. He continued to do this for several years until he was held to account by authorities..A Noise Abatement order is usually handled through your City Council or The EPA. The Police 'as a rule' could probably care less.

And yes you could approach him and ask that he desist...but once he knows it really bothers you..then that may be an incentive for him to amp up his annoying behaviour. Some people are just creeps that way.