You normally have to record audio files straight to usb. I don’t have a DGX but it would surprise me if this is not the case.
You can’t convert midi to wav, but you dont have to. You can play the midi on the keyboard and record the resulting audio. I know you can do this on a CVP but don’t know about the DGX. Of course you can always play the midi and take the output to a computer audio recording program like Audacity.
Mike