I think, you confuse something...
Audacity allows the import of readdily created midi-files, a midi file is just the "notes" of some music; you need a sound-generator to listen to midi files...
your keyboard generates midi-"notes", but I'm afraid, Audacity doesn't allows a live-play-in... Audacity is mainly concepted for editing audio files, not data files (as midi)
use Garageband to "record" your keyboard strokes and import that midi-files into audacity...