Unfortunately there’s no ‘fix’ for the described behavior that I’m aware of.
However, there are a lot of free/paid utilities that will not only do what you need, but also improve the experience overall.
I could list you a dozen utilities but instead I will let you do your homework and decide what’s best for you. This list contains an important amount of utilities for iTunes controlling.
I can tell you which ones I use and my experience with them.
1) Coversutra: It’s a very well designed paid application. You can check their website for a more comprehensive summary (and a trial). The developer (Sophia) reads the suggestions and bug reports.
Pros: It’s very good for searching, very good. Think of a spotlight music dedicated. You can easily switch between playlists, songs, artists, etc. All from the menubar. (I activate it with shift + cmd + space. It also has a controller where you can define your keys for showing album art, define song rating, next, prev, pause, etc. The typical controller stuff. You will rarely need the keyboard.
Cons: Although it has been optimized several times and results come extremely fast, scrolling the results is not as fast as one would expect. Sometimes certain actions might need a “click”.
All in all, it’s a product that works fantastically for me.
2) Launchbar: I use Launchbar for everything, and sometimes for music too. Since it has iTunes support, you can easily type the name of a song/artist/list and will happily play it. What it does is create a playlist called Launchbar and whenever you make a selection, it adds the relevant songs to that list, therefore when you pause/play, things work normally. You can also do the same things (pause, play, next) from launchbar.
Pros: It’s also very fast and it does a lot of things (can’t live without it!)
Cons: Might be overkill for a song launcher/iTunes controller only.
The official way is to store files on Mac OS X server volumes where the spotlight server functionality has been written to provide search of unmounted volumes.
I am unaware of a free or open source effort to recreate this function but it is certainly doable. If you only want filename search, you could use locate and launchd to extend the local copy of the locate database each time an external drive is mounted.
Many replacement tools catalog external volumes but they don't inject data into spotlight and you have to use their app to get at offline index data. Here are two that have been around a long time but also updated for snow leopard.
Best Answer
Yes, you can do this natively.
Just open Spotlight as you normally would (e.g. use the commandspace shortcut) and start entering the name of the song. Spotlight will find it and you can just press enter to play it.
Notes:
You don't need to have iTunes running at the time you conduct the Spotlight search, but you do have to have the song stored locally (i.e. not in iCloud), otherwise you'll get web search results etc instead of an iTunes result.
You also have to ensure you have Music selected in the Search Results tab within Apple > System Preferences > Spotlight