Hello,
From my experience with several Casio keyboards, but not with a CTK-5200, I say it is possible, but it will not be that easy what you plan to do.
I managed to do the following.
I modified the MIDI file in a sequencer software at a computer.
With the keyboard connected to the software too you can record the "program change" to the tracks of the MIDI.
Program change is that MIDI command for choosing the sound. While the special track is selected just switch the sound on the keyboard and it will send the program change command to the software. Save it.
When you than play the MIDI back through the keyboard it should play the new sound.
To be honest, it took me several times of try and error. And it is frustrating when often all sounds become played as piano only, the first MIDI sound.
There is another direct way I did not try. This is using a MIDI editor software. There you can edit the program commands directly by sound banks and sound numbers. This needs some knowledge about MIDI files. The information you can find in the MIDI appendix of the user manual.
Good luck.