Yes, if you are using the Zoom Desktop Client for Mac or Windows, you can share the computer screen and sound using the share screen settings, clicking the “Share computer sound” option before sharing.
Here is a detailed tutorial from Zoom support: https://support.zoom.us/hc/en-us/articles/201362643-Sharing-Computer-Sound-During-Screen-Sharing
If you want your students to watch a video, another way is to share the link to the video via the chat/Moodle, etc., and have them give you feedback when they’ve finished watching.