It's just naming. In Java, you have java.lang.Error distinct from other Throwables because those kinds of errors need to be unchecked. In Python, all exceptions are unchecked, so the distinction is kind of pointless.
You don't name each class with 'Class' in name and each variable with '_variable' in name. The same way you don't name exception using the word 'Exception'. A name should say something about the meaning of an object. 'Error' is the meaning of most exceptions.
Not all Exceptions are Errors. SystemExit, KeyboardInterrupt, StopIteration, GeneratorExit are all exceptions and not errors. The word 'Error' in actual errors shows the difference.
'Error' is shorter than 'Exception'. That can save a few characters in the code width with no loss in meaning. That makes some difference.
Python is fairly similar to Java in this respect. But Python's Exception should be compared to Java's Throwable.
As Throwables come in all kinds of flavors - Error, RuntimeException and (checked) Exception - so do Python's (though no checked exceptions).
As for the language, an Error is exceptional, so that inheritance hierarchy is not strange.
I don't particularly like the name Exception though. Exceptions are not only used for exceptional circumstances (like hopefully Errors) but also to just get out of the control flow. Because that is what a Exception does; it jumps out of the normal flow of control to a marked point. A bit like a goto, but more refined.
That said, every time you have a situation in which no suitable return value can be found you tend to use an Exception. Both in Python as in Java.
Because exceptions should be classes, the class naming convention
applies here. However, you should use the suffix "Error" on your
exception names (if the exception actually is an error).
I surmise this is because most Python exceptions are classified as either errors or warnings. If the names of Python exceptions were to end with Exception, this distinction would not be possible.
Examples of warnings are DeprecationWarning and ImportWarning.