The overdub button is designed to work only with MIDI tracks because MIDI and audio are handled differently.
MIDI data is recorded in small blocks, which are easy to edit, delete, or replace one by one, which makes overdubbing simple and flexible.
Audio recording, however, captures actual sound waves, which are much larger and less flexible than MIDI blocks. To overdub with audio, you’d need to combine new recordings with the original sound, which is much more complicated than working with MIDI.
Instead of overdubbing on the same track, audio recordings are usually layered on separate tracks. For example, your main audio might go on Track 1, and any extra parts you want to add can be recorded on Tracks 2, 3, 4, and so on. This way, you can easily mix and adjust each layer without changing the original recording.
Recording of a MIDI track followed by overdubbing can be seen here: Making A Beat Inside MPC