as you are using the keyboard to adjust the volume and the MacBook is set to respond, be default, to key touches when asleep.
A work around may be to attach powered speakers to the MBA and adjust the volume via the speakers volume controls.
The Internal speakers on a laptop, any laptop, are not renowned for their fidelity.
P
I like to listen to music on my mac, with the screen asleep.
Whenever I hit the volume key on my keyboard, it also wakes up my screen. This distracts me, I wish I could leave the screen asleep. Is there some way I can change the settings so that I can leave the screen asleep, but still use the volume buttons?
Can anyone help me out with this? I would appreciate any advice.
I have a macbook air, OSX 10.8.5

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic