Yes cayenne pepper is the same as cayenne Chilli pepper.
Cayenne pepper is a very hot pepper and is used in Chilli as Chilli pepper too.
Although Chilli pepper spice is not entirely the same but has ground up Cayenne Pepper inside the spice mixed in with several other spices.
So the Chilli Powder you buy can contain some cayenne pepper but also has other ingredients mixed in with it.