To my knowledge, Windows 11 does not support this on its own.
But you can use free (gratis) third-party tools from Nir Sofer to accomplish these goals.
You can create Windows shortcuts to Nir's MultiMonitorTool to switch screens. You can then assign keyboard shortcuts to those shortcuts.
For audio, you can do the same using Nir's SoundVolumeView, or the command-line (CLI) equivalent, SoundVolumeCommandLine.
You can write simple batch files that handle both the screen and audio together. You can then create Windows shortcuts to those batch files. Finally, you can assign keyboard shortcuts to those Windows shortcuts.