You have directly wired two outputs together. You can't do that, you have your PC's output fighting the keyboard output, trying to make the headset silent when the piano is playing sound but the PC isn't, and vice versa. It's quiet in the headphones because when either device tries to play sound, the other device is getting in a tug of war with the output.
To combine two audio outputs into one channel you need a mixer. You could use an audio interface as a mixer if you wanted a high quality solution, but you could also spend a lot less and simply get a "stereo mini-mixer" or "stereo line mixer" like this one or this one. There's no need to spend upwards of $180 on this.
Though if you did get an audio interface, you would be able to record the keyboard on your PC.
Thank you for the help. Do you think this mixer would provide sufficient output for a headphone? I think I would need to get an adaptor to convert that mixer's 1/4 output to 3.5 mm, I did that with my cheap amp and it worked fine over headphones
Moukey make some neat little mixers in various sizes. USB powered, cheap, with stereo jacks. I have the MAMX-1 which has 4 switchable mono/stereo inputs and stereo out.
So would something like this be at least worth a shot? It's comparable in price to that Behringer and has the right input for the cable we already have.
https://www.amazon.com/dp/B08393DLGV?ref_=cm_sw_r_apan_dp_MR801BGVA44NBQGH1JA4