The Echo/Dot/Tap products don't transmit audio via TCP/IP. That protocol is used for WiFi communication (via the internet or, potentially, othe WiFi-enabled devices in your home). As you note yourself, the audio output options that your Dot offers are its internal speaker, or an external speaker via either Bluetooth or a wired connection using its standard 3.5mm line-out jack. None of these have anything at all to do with TCP/IP.
The Dot simply selects output hardware (internal speaker, line-out jack or Bluetooth radio) based on what you do/don't have it connected to. If you don't have anything connected to it via the line-out jack or a Bluetooth connection then it selects the internal speaker. If you do have something connected then it selects that connection for output. If you have both a physical and a BT connection I don't know which it will use but it will select one of them based on a software configured preference. But none of this involves TCP/IP.