Claro que você pode.
O pago CheVolume :
CheVolume is a useful and reliable piece of software whose main purpose resides in offering you the means of outputting various audio application through a specific set of speakers, headphones or other similar devices.
CheVolume is a handy tool that you can rely on for managing the output location for all your sound-emitting software, be they games, media players or web browsers, so you can enjoy multiple activities simultaneously.
A alternativa gratuita em Github :
Audio Router
I created a similar app that does exactly what CheVolume does, except this is free at least for now. I tried to make a public post about it here on /r/software, but apparently they don't allow any download links to unknown apps in a text post.
E um bônus IndieVolume (software muito antigo)
IndieVolume makes Windows programs use separate volume controls independent of other Windows programs.
Bespoke per-application volume, IndieVolume can also make Windows programs shut when GPS speaks, boost too silent sound, propagate sounds to multiple rooms in your apartment and many more.