I use an external mixer to monitor SONAR and my external synth.
The output of my Saffire and the output of the keyboard go to the mixer; I listen with headphones from the mixer or through a stereo receiver to my speakers.
If I decide to use a hard synth instead of a soft synth in a song, I'll connect the keyboard to the interface and record that audio output.
If the Ketron can output MIDI into SONAR, SONAR can't convert that MIDI into a sound that the Ketron produces; you would have to connect the audio output of the K to the interface and record that.