Can't hear audio from other sources when Audacity is on?

Topic. I want to do a cover of a song, and I plan to do it by recording myself singing the song in Audacity with the song playing in the background in Youtube.

However, the audio doesn’t play when Audacity is on. Either from YT or an MP3.

This may be because I am recording it through a pre-amp, Steinberg UR22 to be exact. Could that be the case?

Does anyone know of a fix or another way around the issue?

Using Audacity 2.1.0.

To record a track while another is playing is called “overdub recording”.
To start, you should download or record the backing track, then record a new track.
See here for more information: http://manual.audacityteam.org/man/tutorial_recording_multi_track_overdubs.html