They are rather different in meaning.
"Comply" means "follow an order". You don't don't comply to a person, you comply *with an order".
He complied with my instruction to wear a mask.
"Conform", on the other hand, means being the same as other people (or another person) There might be no "rule".
He conformed with the rest of the class and wore his mask.
If there is a rule that applies to everyone, you can conform to that rule
He conformed to the mask rule.
So the main meanings are different. They can both mean "obey", but "conform" means "obey a rule that everyone has to obey", but "comply" means "obey a particular command