If you're getting keyboard sounds, then you're using the default input.
You have to set whatever virtual device you have installed (wavtap, soundflower, loopback, ishowU, whatever) as your default output, and then select that as your input device in OBS.
You'll be able to see that is working when the VU meters in OBS show activity when the game you're trying to capture makes sound.
The problem now is that you won't be able to hear anything. You'll either need to create an aggregate device in Audio MIDI setup that goes to both your virtual device and a real device, or you'll need software that specifically allows you to specify a hardware device for output monitoring. Rogue Amoeba has a free program that does this (LineIn) as well as a more expensive option called LoopBack that combines the features of SoundFlower, LineIn, plus a few other things. Using LoopBack means you don't need to fiddle with MIDI setup and make aggregate devices; it can do that itself.
LineIn:
https://rogueamoeba.com/freebies/
LoopBack:
https://www.rogueamoeba.com/loopback/
