Aveek Professional Audio Mixer, Sound Board Mixing Console with 5 Channel Digital USB Bluetooth Echo Delay Effect, Input 48V Phantom Power Stereo DJ Mixers for Recording, Live Streaming, Podcasting

There is a better way, but it requires some equipment and setup. I have a cheap USB mixer that plugs into the computer (https://a.co/d/03VneXJP) and what is called an HDMI converter (https://a.co/d/0iBHpN2y), which will take the audio out of the HDMI signal which you can plug into the mixer. You will when set the computer speaker device to the USB mixer and plug in console's audio that you split out from the converter into the mixer. That will allow you to hear both the game audio and your computer audio at the same time. You can get more complicated with this setup for you want using something like a software mixer, like Voicemeter Banana which will allow you to run all of the audio back to your computer, so you can put it through your wireless headset, or something along those lines. I'm using a similar setup for dual PC streaming via a capture card. I have an audio cable plugged into my mixer which is routed to my headphones via the software mixer.