After a little research through Google I have come up with very little. The only other asking of the question I could find was on a site
the Mac Observer way back in 2000 (
http://www.macobserver.com/columns/askdave/2000/20000519.shtml) in relation to an
"iMac 350mhz w/OS9". The answer is intriguing, stating that the "feature has been missing from the Mac OS since QuickTime 4 was introduced and the new Sound Manager was installed" with no fix available. Obviously Apple could have changed things since then, but with Apple's philosophy of simplicity I am doubtful.
...
Ah, I paused to quickly search the forums here and found this thread:
https://forums.macrumors.com/threads/340839/
So it seems it is not possible after all, and in the last post, mkrishnan wishes for, and regrets the lack of, the same sound set-up as I do.
Interestingly the exact thing you desire is/was deemed a problem while running Windows via Boot Camp:
https://forums.macrumors.com/threads/192378/
One last vague possibility, and I have to emphasize again that I have never owned a Mac and am very much not a computer whiz, lies in a complaint I found about Apple dropping support for the
iSub subwoofer:
http://www.xlr8yourmac.com/audio/isub_problems_intel_macs.html
The workaround listed at the bottom of the page involves plugging the subwoofer and external speakers into an
iMic (so many i's!). I have not researched the device in any detail, but it is a USB audio adapter, and there is something in the wording of the solution that suggests, just maybe, external speakers could be controlled independently of, and simultaneously with, those internal.
I hope some of this helps. When I saw your post I subscribed to it, my first subscription on the forums in fact, and when no one had replied, felt compelled to investigate!