Is it possible to play live piano on a MIDI in a rekordbox set?

Sure, why not?

Could you explain how I do that?

You'd need to run software capable of generating the audio you want to play (control) with the Arturia, then that audio can be mixed with the performance from rekordbox, of course how that all happens depends on what mixer / controller you're using with rekordbox as well.

Sorry, I presumed from your question you already had solutions for each and were just asking if they could be combined.