It appears that of the current remotes only the Voice Remote Pro supports "Private listening". There were older remotes with headphone jacks that you can probably find on the used market. Any that you find should work with any Roku that works with the Pro remote. You can also use the Roku mobile app on a phone or tablet and use whatever earbuds or headphones you use with that to get private listening.
Roku Mobile App - Free for iOS® or Android™ | Roku
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