By audio do you mean the built in MacBook audio? You probably just need to tell Windows to use your Mac internal speakers - Search in Cortana > Sound > Playback and select your MacBook speakers.
If you are trying to play audio out your headphones read on:
I would pick up an inexpensive USB headset that has audio and a microphone. Any PC gaming headset made in the past few years should work fine.
I have found that the Made for Apple headphones that you use with your Mac or iPhone doesn't work well when your Mac is running windows. PCs are used to either using USB or having separate audio (green) and microphone (pink) ports. Apple came up with a proprietary inline remote and merging audio and mic functions into a single analog input (the 3 stripes on the jack) and that since Windows doesn't have a proper driver to interpret what is audio and what is microphone you usually use the microphone and inline remote functions.