One possibility might be Loyola New Orleans. It has about 3200 undergrads and I’m pretty sure it has a pep band. It may also be possible to participate in Tulane’s marching band, as Loyola students can take classes there and use their dining hall dollars there, too. (The campuses are adjacent to one another.) It sounds like the school’s Interactive Design major might be the best fit, but it also offers a major in CS with a concentration in game programming. I wrote more about the school life here: Colleges with Admit Rates of 60-100%: Schools You’ve Liked and Why (NO REPLIES) - #24 by AustenNut
Two other possibilities were Florida Southern (about 2600 undergrads) and St. Edwards (about 2700 undergrads in Austin, TX), but I couldn’t find anything about a pep band for either, though it seemed as though students of any major were welcome in the musical ensembles they do have.
With the other week’s historic snowstorm in the deep south, a colleague of mine was mentioning how she had worn her ski pants when going out to play in the snow and was surprised at how warm she felt. She realized that she managed cold weather much better than anticipated when she was wearing the right clothes for the temps (which us southerners tend not to do). Just wanted to point this out in case it helped to expand the geographic range.