@mitu Yep, that was it. If I leave the ES audio settings at "Default / HDMI", when I change the Audio in RetroArch to "Headphone", then I can get audio from the 3.5mm port.

Very counter-intuitive, but at least it is working now. Thanks for the assist!

After trying Bluetooth w/o success --- Does Retropie Support USB Headphones and Headsets? How does it work? I am new to Linux as well --- I am not afraid of using the command line --- I just need my handheld if needed. Thank you in advance.

@mrnoholster Cool. As a courtesy for other users may I ask you to edit your heading of the post and add [Solved] or something similar, thanks.

The audio jack is not grade A at any Pi I own, so I moved to USB-audio, but good to know that HDMI with dedicated audio outlet does also work well.