Well I am starting to think that this USB audio chip I have is simply not compatible with the Raspberry Pi Zero W. My reasoning:
1 - USB Circuit works fine with Windows Desktop and with Raspberry Pi 2.
2 - USB Circuit not detected through USB Hub on my original Pi Zero W.
3 - Loaded Retropie 4.5.1 on spare SD card and plugged it into spare Pi Zero W. Without modifying config and overlays to run DPI I was able to get wifi working without any trouble.
4 - Using SSH logged into the Pi and then plugged the USB audio circuit directly into USB on Pi Zero W.
USB audio still not detected.
I think I am going to have to look for a different chip.
I do find it curious that it works on a Pi 2 but not a Pi Zero.
Thanks everyone for the help. I will check back in when I have a different chip.
Thanks!
KB