There's no such setting.Audio output for all applications is controlled by the android system automatically and, as far as I know, there's no application available which will send some sound streams to bluetooth and others to the audio jack output.
Why do you have BT & Aux connected? I play all mine through BT and sound quality is just fine.
Android will only output media sound to one source by default and most people will only ever be using the phone speaker or one other source of output so I do not think this is a setting which needs to be implemented. If you do want to control it though you might be able to by using a third party app like soundabout from the play store:
My car stereo can't stream music through Bluetooth (Ford 6000 CD) so I generally have music playing through the Aux. Unfortunately this can cause problems when I want Bluetooth turned on for phone calls.
On my old iPhone you could select which output you wanted Spotify to play through and I've noticed that on the Nexus music software you can choose which output you want to use so was hoping it would be possible on Android Spotify too.