How to audio out to iPad Pro when connected to HDMI?

Unfortunately not. As far as iOS is concerned, HDMI works at the device level, and responds according to the EDID of the display device - if the display announces via its EDID it handles audio as well, then the iPad will switch audio over to the display device, in accordance with HDCP and the HDMI spec.

I’m using an iPad Pro 12.9” 3rd gen. I’ve found that I have the same behavior. I was able to manually switch the audio by going to control center, tap the audio sharing button and then select the built-in speakers or other connected device. I use my wireless headphones. It doesn’t always stick, but I’ve found once you set it, it tends to stay put.