By using the auxiliary input, you can send an audio file into the keyboard, then engage the USB Audio recorder and play along with the song that is running through the aux input. The onboard recorder/player cannot perform both functions at the same time. It can either record, or play a file, but no onboard recorder/player can do both.
Now, using your PC and a multi-track, audio recording program, such as Audacity, this can be done. You can lay down the first track, then come back and while it plays, lay down another track, and another, and another and so on.
Hope this helps,
Gary