It is my understanding that Cayenne is made from red peppers. I don't think there are chilis called Cayenne peppers. Red peppers are Anaheim chilis, which are green chilis until more ripe then they are red. They are the chilis that are dried in ristras. Once dry, they are ground up into cayenne (red pepper) spice.
I guess sometimes Cayenne is a generic term using other peppers.