Yes it is totally not a plausible thing to expect to work. The Arduino only has a USB type 1 connector and that looks like a serial port to the host computer. There is no Audio capability with the type of USB connection the Arduino has.
Its a c-type plug, so i just had to check if i could possibly use it to play audio for say when a button is pressed. I can probably just buy something on amazon that would work the exact same
One is that Arduinos are only "devices", not USB "hosts". This cable expects to plug into a USB "OTG" port on a phone which functions as a host and I know of no Arduino which does. There are "host shields" with limited ability to act as a host, but not OTG.
Second is that your "Arduino" is probably a basic UNO or (preferably) Nano or similar. While there is an "Audio" forum here which I do not choose to look at, serious ("hi-fi") audio applications are way beyond the capability of most Arduinos without extensive support modules. Mobile phones OTOH have serious computing power.