Audio/Midi issiue

I’m new ( :confused: ) to Cubase. I’m using 8 Elements with Zoom H4N as my Interface. In VST Connections Zoom is listed as the Output.
In Device Setup H4N Asio is listed as “VST Audio System”.
However when I play an Audio file the sound is played through the Zoom but when I play a midi file it plays through the on board sound card. When I play an Audio and Midi file simultaneously I’m hearing the Audio sound on my Headphones from the H4N while the Midi sound is coming from the system Speakers. Any help would be appreciated. I’ve read the Manual on setting up my system but I can’t find any obvious mistake I’ve made in setting it up.