Up until now, I'd only tried video with an external player. Audio seems to play directly in the app. I don't see any indication that it is using an external app for music.
Jellyfin 10.10.3 (Docker)
Ubuntu 24.04 LTS
Intel i3 12100
Intel Arc A380
OS drive - SK Hynix P41 1TB
Storage
3x WD Red Pro 6TB CMR in RAIDZ1 (JF Library)