Hi leif1000
Although this sounds kind of sketchy, but I've done it in the past...

If you have an RCA jack for your sound out, you could always plug one into your sound out on the keyboard and the other into the sound out from your laptop. Then hook your RCA cables up to a pair of headphones. You would have mono from each sound out ports coming through your headphones. So in other words, an RCA splitter/adapter with an adapter for a 1/8 or 1/4 female jack for headphones. Clear as mud??? Kind of janky, but it will let you hear both audios.
Good Luck