Traditional headphones or 3.5mm wired speakers won't be able to connect to the keyboard but there are some other options below:
USB Audio Adapter - These adapters plug straight into your Pi400 and allow you to connect headphones or another device via a 3.5mm jack cable
USB DAC - Much better quality than the USB Audio Adapter. Plugs into any of the USB ports and also offers RCA outputs for connecting to a speaker system line-in.
USB Speakers - Some speakers use just a single USB connection for both audio and power.
Bluetooth Speakers - The Pi 400 includes a Bluetooth connection, which will allow you to connect most Bluetooth speakers to the keyboard for playing audio. Check out the Vilros Mini Bluetooth Speaker