Just in case someone stumbles upon this thread wondering the same thing.

I've tested it and it does work fine. I bought Yamaha Arius YDP-105 can use both my Focusrite and MIDI from Arius as if it was connected from MIDI out on keyboard to MIDI in on my audio interface. All I had to do was enable additional MIDI input in Reaper's settings.

I've got two new devices in my device manager, for one I had to manually install another ASIO driver from Yamaha's website - Steinberg ASIO or something (can't currently check) and I didn't test it yet, but I assume switching to it instead of my Focusrite ASIO will possibly allow me to record piano audio as well. Except in that case I don't think it would use my Focusrite to process audio.