Official comment
Audacity does not natively support ASIO device drivers - you can compile your own version to do that, but if you're here asking about how this all works, that may be a bit more complex a task than you're wanting to undertake.
See this guide; you could use VoiceMeeter Banana to record the mix, so you don't need to go past that point and use the OBS functions.
Or if you wanted to use rekordbox (even if you're not using rekordbox dj to perform), see this guide.