Hi,
I'm Rodrigo and I'll help you.
This can be only achieved using a third-party application. The only application I know that has this feature is "Actual Multiple Monitor", unfortunately, it is a paid application.
If you want to know more about it, you can find it here:
https://www.actualtools.com/multiplemonitors
Another option is to bind applications to an audio device, so application A will play the sound on monitor A and application B will play the audio on monitor B, but changing the application from monitor A to monitor B will not change the audio output. It is not exactly what you want, but at least you can use separate audio devices.
To do it, open, right-click the volume icon > Open volume mixer > under "Apps" select the down arrow to expand the application you want to change the audio device and change it on "Output device". If the application doesn't show on the list, open it and play some sound.