This was driving me crazy. Mylio respects the iPhone “silent mode” switch even when other apps (Apple Music, Apple’s TV.app, Pandora, etc) do not. Confusingly, pressing the up/down volume buttons adjusts the on-screen slider display, but no audio. So it seems like something is broken when you try to play a video in Mylio and it’s completely silent.
Flip the switch (opposite the power button) or use earphones. Simple once you realize it. FYI.