1. Your stomach explodes, releasing the caloric content of the food as heat over a brief duration
2. Your digestive tract decides to stop digesting, and passes the food through unmodified
3. Normal digestion
As you can see, conservation of energy is completely meaningless in the context of diet.
The second law of thermodynamics concerns itself with efficiency of processes. To apply it usefully, we'd take into consideration the different metabolic pathways of proteins, carbohydrates, and fats. We know for a fact that the pathway for sugars is thermodynamically more efficient than proteins [1] - the laws of thermodynamics directly contradict "a calorie is a calorie"! Not to mention the fact that consumed protein is metabolized and stored differently than consumed sugars, which are in turn different from fats.
[1] http://www.ncbi.nlm.nih.gov/pmc/articles/PMC506782/#__sec4ti...