If you're using the Apple Music integration or Spotify integration with CGX, you can listen to your own music while doing workouts. 

However, if you cast the workout from CGX to your TV, your music will play from your mobile or tablet, not your TV. That’s because you can’t cast two sources to a TV at the same time. If you’re already casting the video to your TV, you can’t also can’t the music on top of that.