We can't really begin to understand things unless we are prepared to put aside our vain ego and resist the temptation to dismiss things just because they don't 'seem' right, or we find them hard to believe. This is the classic mistake Creationists make with Evolution, or often, with nearly all science - "You can't tell me... blah... blah... blah!". For some reason they seem to believe the universe must be easily understandable so anything which is hard to understand can't be right.
As someone once said (and I can't find who!), "Relativity is not hard to understand; it's hard to believe". I mean, it just doesn't seem right that no matter how fast you are moving, the speed of a beam of light coming towards you is the same as the speed of light going away from you. And yet every measurement ever made confirms that this is true and that it is time which changes when you go faster or slower.
The reason Einstein was able to conceptualise this idea was because he was able to ignore intuition and trusted the maths instead. Einstein allowed the evidence to lead him instead of assuming a right of veto over reality. Very many people, especially religious people, find it difficult or impossible to be that humble. That doesn't seem right to me so it can't be true; I don't know how to explain it so my guess must be right; that conflicts with my belief so the fact must be wrong.
Take, for example, the 'size' of the universe: we know when it started and that it started very small - as near to nothing as it's possible to get - and we know how long it's been expanding for, so we should be able to calculate its size - shouldn't we?
But the problem is, the space we are trying to measure isn't flat; it's curved.
Another thing we know about the universe is that it's not infinitely big. How do we know this? Simply by looking up at the sky. If the universe was infinite then every line you can draw from your eye would land on the surface of a star, and so the sky would be uniformly bright, even at night. It isn't, so the universe is not infinite. (This has been argued against on the grounds that it could be that the light hasn't had time to reach us yet).
But the universe is not like a balloon being inflated. A balloon is being inflated into something. Not so the universe. The universe is expanding into itself because all time and space are inside the universe. When the universe expands, it's the amount of space inside it which increases. There is no outside because there is no time and/or space for an outside to exist in 'outside' the universe, so the universe has nothing to expand into.
Because it has no outside, this means the universe doesn't have an 'edge'. In other words, the universe is finite but unbounded.
It also means that, if you could somehow stand outside the universe, the universe would not exist for you. It could not exist because there is nowhere outside the universe for it to exist in and no time for it to exist. Physical existence only has any meaning in terms of occupying space and time. Nothing can exist without space and time.
This is the reason we couldn't detect other universes. They don't exist in our Universe's spacetime so, so far as this Universe is concerned, they don't exist at all.
The universe only 'exists' inside itself. Asking what is outside the universe is as daft as asking what what is north of the North Pole. A bit like an ant walking endlessly round a wheel, wondering when it's going to get to the end.
It's also as daft as asking what there was before the Big Bang. (See now how the so-called Cosmological Argument so beloved of religious apologists depends on your intuitive rejection of what the evidence tells you? But why the need to explain a 'before' when your explanation implicitly accepts an arbitrarily designated cause that had no 'before', and logic tells you that there could not have been a 'before' without space and time?)
So, like Doctor Who's Tardis, the universe is very big inside but very small outside. In fact, 'outside', the universe is still the same 'size' it was at the moment of the Big Bang.
So what size is the universe?
Here's another thing to think about that just doesn't seem right:
The further you look into space, the older is the space you are looking at, because it takes time for the light you are seeing to travel from what you are looking at. But we know the universe is expanding and once occupied a point of infinite density and (almost) zero space 13.8 billion years ago.
This means, if you could see far enough to see light which started out 13.8 billion years ago, you would be seeing the Big Bang. But, the Big Bang wasn't a very long way away; it was here. In fact, it was everywhere. It was inside you, or rather inside the space you occupy, just a long time ago.
So, the further you look into space, the closer what you are seeing gets to you - but the longer ago it was. You are not so much looking further, you are looking back in time.
So, what is this massive universe with no edge and which doesn't exist outside itself made of?
Well, empty space really. Most of the universe is empty. By far the largest part of you is empty space. In fact, if it wasn't for the electrical charges carried on the electrons surrounding the atomic nuclei of the atoms you are made from, you would be invisible. Photons would mostly go right through you unmolested. It's actually the repulsion forces between atomic orbital electrons which makes things feel and look solid.
Take for example a hydrogen atom consisting of a single proton as a nucleus with a single electron around it (I say 'around' because it doesn't really exist as a single particle like a miniature planet orbiting a sun, but as a kind of a cloud surrounding the nucleus - yes, electrons really are in all possible places at the same time like a wave, or a probability function of being in any particular location).
So where is this empty space? Imagine the hydrogen nucleus magnified up to the size of a football and sitting on the centre spot at Wembley Stadium (for non-Brits, that's the English national football ground in the western suburbs of London, which is in South-east England). The electron 'cloud' on the same scale would be a sphere with its edge in Durban, in South Africa. The empty space is not only the space between atoms but the space inside atoms.
So, only a minuscule portion of the universe is in the form of particles or quanta of energy; the rest is 'empty' space. And yet that empty space is not 'nothing'. It exists in space and time.
And that's where it starts to get really strange and full of electromagnetic 'fields', like radio waves, magnetism and gravity, and vibrating 'superstrings', branes and other weird stuff like coiled-up micro-dimensions, and where virtual particle-antiparticle pairs spontaneously generate without cause and then annihilate one another.
Very strange and hard to believe - but well worth the effort.
So much more honest than settling for 'magic' and giving up trying, and then just pretending you know best like so many people who use religion as their excuse do as they pretend it gives them a short-cut to knowledge and wisdom, but usually end up looking scientifically illiterate and intellectually dishonest.