You don’t need an audio device in dom0’s audio mixer to have sound. You only need it if dom0 serves as audiovm of the qube you are trying to play sound from. You can check it with:
qvm-prefs name_of_your_qube audiovm
If it returns nothing, audiovm is not set.
Assuming you haven’t set up an audiovm yet, you can simply pass (attach) an audio device to whatever qube you want to listen to. Depending on what audio device you want to use, see: