If you have connected your keyboard or keyboard controller to your computer or interface using a single MIDI cable, then you may not hear anything in your DAW. MIDI is a communications protocol that allows digital instruments to talk to each other; it conveys messages such as what note to play, how to play it, and so forth. Unlike an audio signal, a MIDI signal contains no inherent "sound", only instructions on how to tell a digital or virtual instrument to create sound.
In order to hear sound, you would need to tell your MIDI keyboard to trigger a "virtual instrument" from within your DAW. For assistance with this setup in PreSonus Studio One, check out this video. You can also learn more about MIDI at this link.
If your keyboard is the type that contains its own internal sounds, such as a workstation keyboard or synthesizer, you would need to connect its audio outputs to the audio inputs on your recording interface's line-level input.
