Is it possible to have multiple audio outputs?
As long as you don't have the various outputs muted it should work fine. HDMI carries both video and audio. The last laptop I worked with, an HP with HDMI, was able to produce sound through both HDMI and headphones at the same time. I believe this is what you are asking.
Look at your audio settings, they are either managed by windows or a utility that your manufacturer provided. It will show all the possible audio outputs and you should be able to mute/unmute at will.
Might have a look at Virtual Audio Cable (commercial, 35.70 USD).