The iPad Pro 4th gen offers a full USB-C interface which does offer bi-directional input/output.
But you need to re-think your expectations! You’ll need a bit more gear to get this to work via a wired connection to get the input to also work through the headset.
Most people just use a good Bluetooth headset to get around this limitation. But, are you sure you want to use this iPad for gaming?? It’s not really designed to support long duration game play.