You have my sympathy. My mom is addicted to judge shows, which I despise, and she has dozens of them stored on her video player. Even when I leave the room, the obnoxious voice of one particular judge seems to permeate the entire house (complete with my mom talking back to the TV as she sanctimoniously agrees with said obnoxious judge). It's like hearing fingernails on a blackboard.
The only escape, it seems, is to walk outside or to put on headphones and listen to something more agreeable.
Some people can tune out extraneous noise, and some can't. You might have some luck if you make conversation instead. You could say something like, "I'd love to hear that story, dad, do you mind if I pause Morose Soap Opera? I can't concentrate on two things at once, and I want to give you my undivided attention."
If that strategy doesn't work and you find the program insufferable, I agree that it's perfectly reasonable to excuse yourself.