I think you can record your performance to a USB flash drive as an audio (WAV) file, but I don’t think (although I’m not sure) you can record the audio while playing back a MIDI song and playing along to it. In fact, I don’t think you can record a multitrack User Song (which is stored as MIDI data in the keyboard’s own internal memory) and then record it to an audio file as it plays back. I think all you can do as far as recording an audio file is record your live performance.
However, if you connect your keyboard to a computer using a TRS (stereo) audio cable going from the keyboard’s PHONES/OUTPUT jack to the computer’s LINE IN jack, you can use a DAW or other audio software to record the keyboard’s audio output. This lets you play back a MIDI song file, or an internally-stored User Song, plus your live performance as you play along to those two types of songs. A lot of home keyboardists like to use a free program called Audacity for this, which is very similar to a DAW except it doesn’t include all of the other features (especially the MIDI-related features) that a proper DAW has.
If you have a tablet or smart phone, there are audio apps that let you record, although the quality of the results can vary depending on whether you’re able to connect your keyboard to the mobile device using a stereo cable or must record using the mobile device’s built-in mono microphone.
There are also standalone audio recorders you could use, either an analog recorder (such as a tape recorder) or a digital recorder. Some people find standalone audio recorders to be simpler to use than having to learn how to use audio recording software.