Run Audio Interface Software INSIDE of Cubase?

Sure.
In the distant past drivers, especially ASIO drivers, would be usable by only one application at a time. Therefore it was a good option to tell an app to release the audio device when the app itself is not in the foreground anymore. This way people could use the same device with different apps, just not at the same time.

Microsoft has done some changes to Windows’ capabilites in this regard. Nowadays drivers are multi-client and the OS supports this. That is Cubase does not need to release the driver = device anymore.
I am running sound from Cubase and YouTube at the same time through my RME Fireface, even the same output channels (outputs Analog 1/2) and it works like a charm.

If it does not work on a Windows PC there can be two reasons:

  1. the driver is not multi-client capable (either it is too old or poorly written, e.g. Steinberg’s Generic Low Latency ASIO driver)
  2. Windows itself has a setting where apps can revert to the old scheme and snatch an audio device for exclusive mode, thus forbidding simultaneous use; Louis wrote nice instructions on how to set up Windows in that case:
    Audio Setup Guide - for Windows users

This is the dialog box from Windows 10 (sorry, German), I marked the two important settings:
grafik

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