Hello, I think that AUDYA can't make do this in MIDI.
You can record a MIDI : MENU > F9 MIDI RECORDING, but first problem: Audio drum and Live guitar will not appear in the MIDI, that parts will be empty. (This MIDI FILE is compatible with a sequencer)
You can record a MACRO RECORDING > MENU > F10 MACRO RECORDING.
If you record a MACRO RECORDING all parts will be record, but the file you only can play in AUDYA, (it's not compatible with any sequencer, CUBASE, LOGIC)