Concurrent central and peripheral mode with BLE
You are correct, in order to do this, your device would need to support the concurrent connections feature, also known as Dual Mode Topology. Dual Mode Topology is a relatively new feature in BLE that was introduced end of 2013. It requires both software and hardware support as follows:-

Hardware Support:- In order to support Dual mode topology, your device must be Bluetooth v4.1. This feature was added in Bluetooth v4.1 so Bluetooth v4.0 devices do not support it. More information on this is available in the Bluetooth specification v5.0, Vol 1, Part C, Section 7:- Changes from v4.0 to v4.1.

Software Support: In addition to the version of Bluetooth hardware, the stack/software must provide support for this feature. Not all Bluetooth 4.1 (or even Bluetooth 4.2 or Bluetooth 5) devices support this feature because the software vendor didn't expose it.

From this link, it looks like your device is 4.2, so theoretically the hardware capability is there. Also it is stated that one of the key features is "Master, slave, and multiple simultaneous roles", so the software supports it too. The details on how to configure this is found in this document in page 9.

I hope this helps.