AirPlay video, but play audio on device Is it possible to AirPlay video from my iPad 2 on an Apple TV, but play the audio on my iPad?
As far as I know, it's not possible without jailbreak.but if your iPhone is jailbroken, you can at least redirect the sound to your headphones : http://hints.macworld.com/article.php?story=20130312010845251

I didn't try it since my phone is not jailbroken. 

Hope that helps !