I don't think Windows can do that. But a program can. I think VLC for instance can output to multiple devices.

My guess is you would need to set your program to output to a virtual audio device (e.g. VLC) and then have VLC relay the audio to both real outputs.

It would be much easier to get a splitter if you can. Audio configuration in software sucks a lot.

Edit: it looks like VLC maybe can't do this. But there's no reason a program couldn't do it. I don't know of any made for this purpose and I'm not turning anything up in the first pass of my search.