Good question. A pretty common confusion in physics is the dual nature of light: sometimes it acts like a wave, other times it acts like a particle. Specific to your question, though, you can absolutely talk about a "radio photon" or a "gamma ray wave", we simply don't encounter those terms in large part due to our methods of detection.
So, photons. Radio waves. Electromagnetic radiation. Why do we only hear "photons" referred to for electromagnetic radiation that happens to fall within the visible spectrum for the human eye, plus some distance on either side of it, and then sometimes for anything above it (like gamma rays). But way down there in the radio wave regions, for some reason we're never talking about photons.
What's up with that? Is it just a matter of convention, or is there some kind of qualitative change as you go up the spectrum?
The only real qualitative change through the spectrum is energy per photon. Your average gamma ray photon will have an energy on the order of a trillion times more than your average radio photon, with a visible light photon somewhere in the middle - a million times less energy than gamma rays, and a million times more than radio waves.
Now, it's the deposition of this energy which allows us to detect it. In the case of modern visible light detectors (such as the CCD chip in your digital camera or at any observatory), a visible photon comes and hits the CCD, causing an electron to jump from being bound to a silicon atom to floating around in the sea of conduction electrons, which gets spilled out for reading at the end of an exposure. The point here is that the energy from a single photon gets filtered through to produce a noticeable, macroscopic effect in the electronics. Something similar applies to even shorter wavelength electromagnetic radiation like UV and X-rays - albeit in slightly different ways - that permits us to observe them on the individual photon level.
Radio, on the other hand, is a bit of a different beast. (I should also state that the radio astronomy world itself is somewhat disconnected from visible/infra-red astronomy.) A single radio photon isn't really enough to cause a noticeable difference in anything macroscopic. The wavelength of radio waves, however, *are* macroscopic. So, it's more reasonable to conceptualize radio energy as a sea of electromagnetic waves altering the electric field of your macroscopic antenna and producing a noticeable signal.
That's not to say radio photons don't exist. For example, atomic hydrogen which flips the spin state on its electron will cause a single radio photon (with a wavelength of 21 centimeters) to be emitted, and is a very important probe of gas in the galaxy.
So, I think the answer to your question is ultimately an observational predicament: which method of light conceptualization (particle or wave) causes the macroscopic change to your instrument.