What puzzles me is if a Daedric prince like Azura is demanded for an audience in two different places, so like in two different statues of the same prince, how do they talk in both places? Do they have a power sort of like cloning their spirits so they can talk in two places at once?

I imagine they're powerful enough to project their voice in multiple places at once, and keep track of multiple locations at once.

My guess is that.

But maybe they do what a human would do in such a situation, and first adressing one person, then adressing the other, but that gives me a very bizarre metal image.

The idea that anyone can just walk up to a statue and receive an audience with a Daedra Lord is more of a gameplay mechanic than anything informed by lore. Most of the in game books suggest that Daedra Lords can only be invoked at certain places on certain days with very specific rituals by cultists, unless they need something specific from a mortal or feel like intervening in mortal affairs.

Well, given that Mehrunes Dagon is in some sense present in all acts of destruction, Sheogorath in all instances of insanity, Vermina in all dreams, etc, I don't really see what the problem is.

A Daedric Prince is "located" wherever its power is manifest. If that's in multiple places, so be it.

I just imagine Azura saying something like: "Hold the line please. I have an incoming call".