Hi,
Yes you can. Do you want tot record Midi data or raw audio? To record audio (where Magix shies the brightest) simply get a TRS 1/4" to TRS 1/8" audio cable and plug your keyboard line out to your sound card line in. Better yet get a recording interface and get truly professional sound.
The PSR 295 also has USB Midi; simply install the keyboard to your computer per Yamaha's instructions then set Magix AS14 to use your keyboard as the Midi device.