In theory, in Mac you could create a multi-output device consisting of your speaker and a virtual sound card (soundflower / loopback / virtual-cable / etc). In Zoom you should choose this multi-output device as the sound output. In OBS scene you put your virtual sound card as your input.
I am assuming that Zoom by default does not output your own voice as their output (similar to other online meeting software) so it should not matter whether you are muted or not.