The audio codec seems capable of full duplex mode, but that still does not guarantee that the makers of the hardware included this ability. Even though a chipset can do certain things does not always mean the hardware was designed to take full advantage of the codec.
The idea you have may work, only if the headphones are amplified. Otherwise, the signal coming from the keyboard into the Y splitter may not provide enough signal strength for the headphones.
A solution if the above does not work would be t use amplified speakers inplace of the headphones.
Does the keyboard have a MIDI DIN port on it? Though the availability of a true MIDI port on a laptop is unlikely, you usually can connect the MIDI to a gameport.
Though you state your not rich, another solution might be to use an external soundcard.
Creative Labs Sound Blaster Live! 24-bit External USB Sound Card $44