Maybe somebody else’s app? Audacity, as a general rule, can only connect to and record from one sound device.
When I shot my podcast test, I plugged my analog headset into a sound mixer along with the Skype computer. I mixed them and sent the mix to a second computer for recording.
The machine on the left is doing two different things. It’s playing music into the production and recording the mixer composite. Many computers will do that. But it’s not recording two different things.
There are programs such as VoiceMeeter which can let you re-arrange sound pathways.