Yeah, no one really knows. It is one of life's biggest mysteries, and it's not a stupid question
Personally, and I don't know if this makes sense to you, but it does to me, I think parts of your souls will go to different areas of Oblivion with those specific Daedric Princes that you pledged to. I mean I guess they could all battle it out... (definitely Molag Bal and Boethiah with all that hatred), but to me, the splitting of the soul made more sense because:
In various parts of the games you do a few quests where you are 'partially soul trapped', meaning they take a part of your soul. So obviously your soul can be split. But really this is all just speculation, you have no idea what's gonna happen. Although, I think this is just a game thing that Bethesda didn't really think about. Because if you notice all of the other characters in the game, they are typically devoted to one Daedric Prince, like Boethiah's followers, the Nightingales, etc.
Also, since the Daedric Princes know many things, I would think they would know if you pledged your soul to another Daedric Prince, and be pissed and kill you (or at least that's what I would do if I was a Daedricg
Prince). Especially since I committed to BOTH Molag Bal and Boethiah. I'm surprised I was not struck down by Mr. Bal himself.