You'll notice that the Raspberry Pi 400 doesn't have the same 3.5mm audio port as the Raspberry Pi 4.
This means you won't be able to connect traditional headphones or 3.5mm wired speaker units to the keyboard, however, you do have a few options remaining:
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 - https://thepihut.com/products/usb-audio-adapter-works-with-raspberry-pi
USB Speakers - Some speakers use just a single USB connection for both audio and power. A good example of these is our mini USB speaker set: https://thepihut.com/products/mini-external-usb-stereo-speaker
Bluetooth Speakers - The Pi400 includes a Bluetooth connection, which will allow you to connect most Bluetooth speakers to the keyboard for playing audio.