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But to your question, I haven't tried this particular player (I did try Kodi though), but such a setup works fine in general. You just add a player of your choice as a Non-Steam Game, and then you will (should) be able to run it in Gaming Mode (assuming that's what your question is about) in parallel with a game. It will be of course inconvenient to skip/change playing tracks/radios, because you'll need to switch from your game to the player and back (as there is no global media/hotkeys support, as far as I know), but it is what it is.
Make a Feature Request: https://steamcommunity.com/app/1675200/discussions/2/
It is actually easier than adding a "regular" non-Steam game/applicaton, because when you are in the Add a Game window you don't need to click on Browse - it is already available in the list, just scroll and find it.