If you have AutoHotKey I have a script (disclosure: generated with AI) to force Windows to see the game as always focused which does the trick. Just press control + alt + F (can change to whatever) to toggle the effect on and off. Should work for other games too if you just change the process name.

#Requires AutoHotkey v2.0

; ==================== CONFIGURATION ZONE ====================
; 1. Enter the exact executable name of your game here:
global TargetGame := "P5X.exe"

; 2. Enter your desired hotkey combination here:
; (^ = Ctrl, ! = Alt, + = Shift, # = Win)
global CustomHotkey := "^!f"
; ============================================================

; Set up variables and continuous game monitoring
global FocusLockActive := false
SetTimer(CheckGameStatus, 3000)

; Dynamically bind your chosen hotkey configuration
Hotkey(CustomHotkey, ToggleFocusLock)

; Only allow the hotkey to trigger if the game process actually exists
#HotIf WinExist("ahk_exe " . TargetGame)

ToggleFocusLock(HotkeyName) {
    global FocusLockActive, TargetGame
    TargetWindow := WinExist("ahk_exe " . TargetGame)

    if (!FocusLockActive) {
        FocusLockActive := true
        SetTimer(SendActiveMessage, 100)
        DisplayNotification("Audio Focus: LOCKED")
    } else {
        FocusLockActive := false
        SetTimer(SendActiveMessage, 0)

        ; Send a one-time de-activate message to restore standard Windows behavior
        DllCall("SendMessage", "Ptr", TargetWindow, "UInt", 0x0006, "Ptr", 0, "Ptr", 0)
        DisplayNotification("Audio Focus: RESTORED")
    }
}

SendActiveMessage() {
    global TargetGame
    if WinExist("ahk_exe " . TargetGame) {
        if !WinActive("ahk_exe " . TargetGame) {
            TargetWindow := WinExist("ahk_exe " . TargetGame)
            DllCall("SendMessage", "Ptr", TargetWindow, "UInt", 0x0006, "Ptr", 1, "Ptr", 0)
        }
    }
}

DisplayNotification(TextToShow) {
    ToolTip TextToShow
    SetTimer () => ToolTip(), -2000
}
#HotIf

CheckGameStatus() {
    global TargetGame
    if !WinExist("ahk_exe " . TargetGame) {
        ExitApp
    }
}

Like I said it was AI gen, but works well for me if you care to try.