The Pi uses PWM for it's audio out through the headphone jack, and the Unicorn HAT/pHAT use PWM for their data, hence the conflicts.
@gadgetoid is correct in saying that HDMI audio should resolve the conflict.
Another fix is to use an I2S audio DAC, like our pHAT DAC for audio and then reassign the data pin for your Unicorn HAT/pHAT to pin 12 (pin 18 is used for the pHAT DAC I2S audio). However, I've had some trouble getting pHAT DAC to play nice with Retropie.
The final option is to use a small Arduino to drive your Unicorn pHAT. Is it for lighting? I've used a Neopixel strip and ring to light my Picade, with a Trinket Pro driving them.