Captivate 2019 keep cursor in text entry box

They way TEBs work by design is that if the focus is on the TEB and then you click OUTSIDE it, the TEB loses focus and it will be shifted to whatever you clicked on.  I know of no way to change this behaviour in vanilla Captivate.

My suggestion is that if you want other objects to trigger playing audio then you'd have to avoid clicking anything.  You'd need to trigger the audio to play via mouseover events.  But Captivate doesn't by default give you any way to trigger an action on mouseover.  (That's been a big limitation of the app for its entire existence.)

So, I think it would have to come down to using JavaScript to code event listeners for each of the objects so that when your user places their mouse cursor over the object it triggers a Play Audio action.  However, this assumes that your users will be on desktop mouse-driven devices and not mobile touch screens.

If you do not know how to code JavaScript then you might want to look into the CpExtra HTML5 widget which does allow you to set up Event Listeners without resorting to code.
More info here: https://widgetking.github.io/cpextra/features/event-listeners.html#what-do-event-listeners-do