Problems with different devices

There is a lot of reasons that can add up to an export mix not playing the same as it sounded when played back from with in Sonar. But I can only guess without knowing what your using. You need to tell everyone what your set up is for a more accurate response. 
List your system, version of Sonar and Audio interface etc.. 

Is this a new problem you've discovered or have you been able to mix your vocals acceptably in the past?
 
Assuming you've always had problems with this, I might suggest that you are blessed with one of those voices that live in a frequency range in which many other instruments and voices in your mix tend to dominate. If that's the case, the speaker will have a lot of energy concentrated in a narrow range of frequencies and your voice may well get swallowed up in the mud. I've also found that some of the cheaper ear buds and speakers tend to swallow my voice  when that kind of fighting is going on. it's nice to know that I'm not alone. :)
 
For my voice to stand out in the mix I have to emphasize some upper mids and lower highs on my vocal tracks, and then cut in the lower mid frequencies that it's fighting other instruments over. The idea is to let specific instruments and voices dominate their own slices of the frequency spectrum. If you do this, your voice should pop out nice and clear.
 
Perhaps you already knew this, and if you did, then I have no idea what the problem is. :)
 
Good luck!

Before exporting check your mix using the problematic headphones to see if you can hear your voice before the export. If not you can play around with the mix until you can. Then check it again in your monitors and again in the headphones then in any other speakers/headphones you have around. Try to acheive a mix that sounds good on all your available soundsources. This might make things sound not as good on one or the other but you want to make it so you get the best quality on the widest variety of speakers.
 
That's not a replacement for a perfectly tuned room with high quality monitors and a lot of skill/experience but it'll help get you closer than doing it all on one poor sound source. I keep a bag of various headphones, two stereos, multiple sets of speakers of varying size/quality as well as my studio monitors. I used to try out and make tweaks on my mixes on as many as I could to get things sounding even on them all.
 
Now I've got a VRM Box which is better/more convenient for that type of mix checking but I'll still try out stuff using the hardware as well because it's just more stuff to check it on.
 
However if something actually IS happening in Sonar that is doing something to you mix maybe you've got some kind of weird settings that are causing the sound of your vox to be partially cancelled out like phasing or perhaps you simply aren't setting up your export options properly (like you have the vox running to a bus or something that's not being included in the export or something weird like that).
 
Cheers.

Well, nothing will work correctly until the OP buys a proper audio interface. Was my first guess at the problem.