chief02's suggestion is good, I'll try to give you some more specific instructions based on a couple of assumptions:
- Your coach has the same Jensen radio (link to manual) and Sony DVD surround system (could not find link) as mine.
- You're using the XM feature of the radio (actually the manual calls it Sirius, they had not merged at the time the manual was printed) with the optional receiver.
There's no digital or optical input on the Sony system, only an "aux" input on the front panel (actually hard to see as all the buttons and this input are on a horizontal ledge on the front) which takes a a stereo mini plug.
The Jensen radio has an Aux-Out connection, it has RCA jacks.
To make the connection you'll have to get an RCA to stereo mini-plug cable that's long enough to go from the radio's back to the stereo's aux input.
I'm not sure the Jensen will output the XM over the Aux-Out connection, or if you can get sound out of them without getting sound out of the radio's small speakers, so you may want to test it before committing buying and running to the relatively long cable.