Make sure you setting audio out to the right output.
To change audio output, right click on the audio icon and select the output.
If you are using Raspberry Pi 4, as of 3/12/2020 there's some know issues output audio to both HDMI ports. Use the port next to the power input, it works.
If you need to run command line, use this command to switch the audio output to HDMI:
amixer cset numid=3 2
If output is set to
2, which is HDMI. Output to
1 is analogue (headphone jack). Default setting is
0 is automatic.