I haven’t found a way to do that on Windows either so I’d be interested in a solution.
On Mac it’s quite simple, as ErikG stated. On a Mac, in system preferences, you can combine multiple audio devices into one virtual device. This virtual device has all INs and OUTs of all aggregated devices that can be freely assigned. In Nuendo, you then choose this one aggregate device as your audio device and then you can freely route audio to different sources. I have set this up together with Control Room so I can switch between my Laptop speakers, my sound setup in the studio, and the HDMI TV speakers to quickly judge sound on very different systems. It works really well.
How would you realize that on Windows?