Hello Scrugle, Welcome to the Forums.
This might be a problem related to your hardware.
Basically when UEFN is the active window, it slams the GPU (which would increase PSU power draw), and the higher power draw is having an effect on audio components.
Try connecting your speaker to a different port/connector if possible. - There also could be ways to convert 3.5mm to USB audio and vice-versa.
If you’re on a PC, and plugged into the front-panel connector. Make sure that the wires going from the motherboard to the front panel aren’t near anything else.
Also, if you click the icon with the 3 bars in the top left of the viewport, you can disable realtime rendering. (Which would lessen load on GPU)
Hope that helps.