$\newcommand{\ga}{\gamma}$ $\newcommand{\al}{\alpha}$
I would like to find an example for a Riemannian manifold, that has two conjugate points $p,q$ with only one connecting geodesic between them.
(This is the geodesic they are conjugate along)
Explanation:
Consider a parametrized family of geodesics starting from a fixed point $p$, i.e:
$\ga_s(t)=\ga(t,s), \ga_s(0)=\ga_0(0)=p$ where for each fixed $s$ , the path $t \to \ga_s(t)$ is a geodesic in $M$.
Then $J(t)= \frac{\partial \ga}{\partial s}(t,0)$ is a Jacobi field, along the geodesic $\ga_0$.
Moreover, every Jacobi field can be realized from such a variation of geodesics.
By definition, if $p,q$ are conjugate along some geodesic $\al$, there exsits a nonzero Jacobi field along $\ga$ that vanishes at $p,q$. This means there is some variation $\ga(t,s)$ of $\al$ ($\ga_0=\al$) where $J(t)= \frac{\partial \ga}{\partial s}(t,0)$.
Assume $\al(t_0)=q$. Then $0=J(t_0)= \frac{\partial \ga}{\partial s}(t_0,0)$, so one can say that "$\gamma_s(1)$, is the point $q$ only up to first order in $s$", but we cannot conclude there exists an $s \neq 0$ such that $\ga_s(t_0)=q$.
(Of course, if we knew that $\ga_s(t_0)=q$ for all $s \in (\epsilon,\epsilon)$ this would imply $J(t_0)=0$ but not vice-versa).
In the language of wikipdeia:
"Therefore, if two points are conjugate, it is not necessary that there exist two distinct geodesics joining them"