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.