Translation:Nobody knows what is going to happen.
That's... actually a very good question. Never thought about it. As far as I can tell, it attaches to "what" and "who[m]" when those are used in combination with a temporal aspect. So you get "inget vet vad som kommer att hända", "ingen vet vem som har kommit", etc.
But I would not place any large bets on it, and I would love to see if anybody else has any better explanations.
Think of "vad som" as meaning "that which". (See my other comments on this page.)
You can analyze "vad" as an indefinite pronoun, followed by the relative pronoun "som".
So yes, you are right, here "som" is a relative pronoun that is the subject of its clause.
But "vad" is not a conjunction. It is an indefinite pronoun that here is a direct object in its clause: "Ingen [subject] vet vad [direct object]".
I have great respect for Holmes and Hinchcliff. However, I think their analysis/terminology is slightly off on this one.
They treat "vad som" as a single relative pronoun that is the subject of a relative clause. I think it makes more sense to treat "vad" as the direct object of the previous clause, followed by "som" as the subject of the following clause, as in the English "that which". See my other comments on this page.
But this may be hairsplitting. The result is the same in either case.
English is unusual in allowing "what" by itself to be used both as an interrogative pronoun and as a relative pronoun that is the subject of a clause.
To help remember the usage here, you can think of "vad som" as parallel to English "that which": "Nobody knows that which is going to happen".