You can pray to both God the Father, the Holy Spirit, and Jesus.
We are Trinitarians. God is one being who is three persons: Father, Son, and Holy Spirit. These three persons are one being, one God, not three beings or three Gods.
Furthermore, we believe that God the Son assumed humanity in the person of Jesus Christ. Jesus Christ is one person who is a human body and a human soul united to God the Son. We refer to this union in the person of Jesus as the “hypostatic union.” Because Jesus’ humanity is united to God the Son as one person (not two people in one body) it is okay to worship Jesus as a person as God.
It’s a little mind-boggling, especially if you’ve never encountered it before, but that’s okay.