I can guarantee that IF you have a city or cities with no religion, the holy city will be founded there or in one of those.
I don't know what the rule is when all of your cities have religion, but it's not uncommon in that situation for the same city to become a double or even triple holy city. I've never seen four.
In my most recent game, I had 2 cities when I founded Confucianism. Both cities were Hindu already, with my second city being the Hindu Holy City. It also got Confucianism. Then, later when I was one turn away from Taoism, I had seven cities, all of which had at least Hinduism, some also Confucianism. I founded a new city and discovered the religion, of course the holy city was my new city (the only one without religion). I reloaded and waited a turn before founding, my double holy city became a triple.