I thought the Bluetooth module can connect to only one another device, but iPhone(or any iOS device) can be connected with Apple Watch and AirPod at the same time. How can it be possible? Is there any additional module in iOS device? If yes, why can't i make another double connection except Apple Watch or AirPods?
Bluetooth can only connect to 1 device of a type at a time.
For example, you can only connect to 1 pair of headphones (AirPods) or 1 mouse at a time. You can connect to multiple devices (AirPods and a mouse) at the same time because these are different devices.
You didn't provide enough info on the devices you can't connect to, the errors you received (if any), or the troubleshooting steps you've already taken, for me to assist you with the "double connection" in your question. Please see Help and then edit your question to include all relevant info.
Bluetooth has evolved. Now you can connect to multiple devices even if they are in the same category (e.g. two different speakers). It’s just most phones are not capable or simply not designed to send audio to two Bluetooth devices at the same time (technically possible, such as the Dual Audio feature on Samsung’s S8 with Bluetooth 5). However, the data transmission speed are still not comparable to many other connection methods.
Also note that when using AirPods, your iPhone is actually connected to three components — two AirPods, and one charging case. meanwhile, Apple is using some proprietary technologies (including the W1 chip) to create a even more seamless experience.
Maybe we will see dual audio on iOS devices in years to come. But for now, Apple has AirPlay 2 which is even more powerful than dual audio on Bluetooth.