No Audio

Is this, by any chance, an USB-Headphone? Or do you use USB-Speakers? If so, you have multiple audio-devices installed. Then you should take a look at your sound settings in windows, if the right device is set to standard.

I use a TV as my monitor so the audio comes out of the speaker in the TV.  Would that count as a USB Speaker?

No, but you have to set either the game (if possible) or your windows sound output to HDMI sound out. I assume your PC is sending sound just to your PC-Speakers, but not via HDMI. When you´ve done this, but there is still no sound, check if the cable is capable of sound. 

Audio works fine for other applications and it comes out of my TV so I know that it's capable of sound.  I've looked around and cannot find a way to set the audio output for the game