Knowing nothing about Windows audio (but knowing Audacity and how tricky this can be in Linux) I went looking for a technical explanatiion of audio stream mixing in Windows. I didn't find one - or not an up to date one.

But I did find references to 'vitual cables' software - eg here - some of which are free or free to trial.

I note that there are several competing sound systems within Windows (MME, Direct Sound, etc). It looks like you need MME which is probably the default.

Hope that helps.