This article explains which video cables carry audio

Video cables that will deliver audio as well as video are HDMI, DisplayPort, and USB-C

A standard 15-pin VGA cable does not have the capability of carrying sound. To have sound from your computer to your monitor while using VGA, you would need to also connect a 3.5mm audio cable between the computer and the monitor (if so equipped). 

There are some specialty VGA cables on the market which are outfitted with an additional 3.5mm audio line-in option, see an example here. Elo does not sell or offer support of these cables.