Yes, you can connect the NR2X audio outputs to the audio inputs of the OT and mix the NR2X sounds with those coming from the audio tracks of the OT. You could sample the sounds coming from the NR2X and play with them using the OT’s sample-mangling capabilities and effects.
You can listen to the whole mix via the OT’s audio outputs or the headphones output.

I agree with you exactly that the NR2X is “nice”-sounding and it’s a very good instrument for someone who is just starting with synths, although I think its interface is not quite as easy to deal with as the Nord Lead/Rack 3 (where the user interface updates automatically when new match settings are loaded).

My favourite part of the NR2X is the percussion kit mode, where each of the four parts can have 8 synthesized drum sounds. Try using the OT’s MIDI arpeggiator to trigger these drum sounds, and then sample the resulting patterns.

The main thing with learning any new instrument is to spend as much time with it as possible, until you can use it by instinct without having to refer to its instruction manual.