Cayenne comes from the cayenne pepper. These peppers are also part of the Capsicum annuum family, but they’re much hotter than the peppers used to make paprika (from 35,000 Scoville heat units and up).
However, any variety of smoked paprika won't match the heat level of hot paprika. It's why I also add red pepper flakes, chili flakes, or ground chilies to my recipe when using smoked paprika.