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If you are using hardware instrument, which is also the MIDI keyboard for you, make sure, Local Control is set to Off on the instrument. If you keep it switched On, you send the MIDI data from the keybord to the internal synth (which will be disconnected by setting the Local Control Off) and also via USB to Cubase and thru Cubase back to the synth.
Other option is to disable MIDI Thru Active in Cubase > Preferences > MIDI.