No, they are not the same thing. Cayenne peppers are a kind of chili pepper, while Thai peppers are a type of bird's eye chili pepper.  Both peppers are hot, but cayenne peppers are usually less hot than Thai peppers. Cayenne peppers are typically red and have a hot and spicy taste, not Thai Chilis.  On the other hand, Thai peppers are a type of pepper that is green or red in color and has a Hot, smoky taste.