So who is Jesus praying to? Catholic doctrine of the trinity says there are three persons in one God so it doesn’t make sense for Jesus to pray to God the father (they are one and the same).
They are one in essence, but distinct as persons. Therefore Jesus can act as our own advocate in heaven.
It would be short-sighted to define "prayer" as just supplication only. To pray is to be in living contact, to give oneself as gift and to receive the other as gift, in a Communion of Love.
This is what the Persons of the Trinity do for all eternity.