This kind of audio is a thing you need to do outside of OBS, because OBS has no feature to mix and output mixed audio to its virtual webcam.
In general you need to mix all you possible audio sources (local instruments, local DAW, local media player, local mic) with a mixing app on your PC, such as Voicemeeter, then feed the mixed audio into a virtual audio device that can act as recording device with Windows (such a virtual audio device comes with Voicemeeter, and additional ones can be acquired on the Voicemeeter website as well), and configure this virtual audio device as mic in Zoom instead of your physical mic.
Videos can be played back from within OBS with the media source type, but as start it's probably easier to play them in a media player and share this media player with Zoom, because it's not trivial to get the media audio out of OBS, if you play it from within OBS.
