Play audio file through Zoom phone app?

I am using the Zoom phone app on my Mac and would like to be able to play an audio file, e.g. .wav, while on a call and have the caller hear it.

Seems like a simple idea but I can't find any way to do it.
If I just play the file I hear it in my headset but it's not sent to the other person.

Is this possible?
I do I need to do something like play the audio through a speaker and hold my headset next to it? 😛