It'll work. There is a "speaker in" and "speaker out" jack on the back. I've never used one, but it seems as simple as just patching your speaker through the unit.
However, it probably won't be useful unless you are really planning on listening to something specific that you know, 100% sure, uses the G4GUO protocol. This is mainly used on HF, and mainly by amateurs. Unlikely you'll get much use out of this unit with a scanner.
Is there something specific you are trying to listen to?