Unable to download any song from the Album that I purchased off of iTunes

Check you have enough memory / free space for the songs on your iPhone (Eg an iPhone generally needs around 8Gb free in which to operate smoothly. (NB: If short on space, it is always wise to back up your data before making space) See: How to check the storage on your iPhone and iPad - Apple Support

Check you have a good strong internet connection:

If you have VPN try turning that off.

Check iPhone is well-charged.

You may be able to REdownload the purchased music:

See how to: Redownload music from the iTunes Store on your iPhone or iPad - Apple Support

or

What to do: If you can't connect to the App Store, iTunes Store, or other Apple services - Apple Support

If still no success, you may want to: Contact Apple support