Any monitor with integrated speakers should do it, as long as you connect with a cable that supports audio as well as video.
Eg hdmi
Edit: just seen your USB headphones addition. The usb port on the screen is almost certainly a USB hub intended to be connected to a PC. USB headphones are unlikely to give any sound. The freeview box can output audio via HDMI cable to the display, but the display needs to output it to an appropriate port or speaker.