It is possible that the Prime developers did not include this feature with their channel/app that they developed for Roku. (Sometimes an app will behave differently on different devices or different streaming platforms).
If you post the title of the Korean drama, can look at it a bit more closely. (Agree that a Korean drama missing its original Korean track is odd).
Otherwise, the general way to select the audio in the Prime app on your Roku is..
1. Start playing the video.
2. Press the down arrow twice to get down to the options. (Start Over, Next Episode, Subtitles CC, Audio Options). If you press Pause first, you will need to arrow down 3x.
3. Arrow over to the right to select Audio Options, then press OK.
4. Select Audio Languages, then press OK.
5. Scroll down the list to find your preferred Audio track.
