Audacity has very basic MIDI file management without actually playing or making MIDI files.
I think the best you can do is get your computer MIDI interpreter to play the file and record it in Audacity by setting it to “Record What’s Playing On The Computer.” This is the same setting you would use to record YouTube or other on-line music.
http://manual.audacityteam.org/man/tutorial_recording_audio_playing_on_the_computer.html
MIDI isn’t music. It’s machine control and it needs special software to turn it into music.
https://forum.audacityteam.org/t/convert-mp3-to-midi/43076/4
Koz