Googled "Audacity midi" and found this:
Audacity currently supports displaying MIDI files if you import them using Import MIDI in the Project menu.
Audacity does not support playing, recording, or editing MIDI files. It does not even support saving MIDI Tracks in a project file.
The current functionality is useful to only a small group of people who are studying algorithms that relate MIDI data to audio data and simply wish to see the visual representation of the MIDI data and how it lines up with the audio data.