Yes, it's possible with some models of VU+: first of all, after having enabled PiP, you need to change its mode into BIG PiP (long BLUE again, then green, then '0'.
Once you choose BiG PiP mode and you zap to another channel, you'll have the video from big PiP and the audio from the new channel where you zapped.
The problem is that the big PiP does not work in Solo4K (unfortunately is mine) whilst it works for sure in Duo2 (I've got it, too) and in Ultimo4K (as reported from friends of mine) and, if I remember well, also in Uno4K.
Zero4K, instead, has no PiP capabilty.
What is your VU+?