As a consumer you will need more information about your application than just the size of the electrical wire you need. Most often your electrician can let you know what size will be needed depending on the amount of power that needs to be carried from point A to point B.
Understanding the difference between the types of insulation is a different story all together. An electrical wire that’s being used indoors won’t need as much protection as a wire that needs to run outdoors. Therefore, the indoor wire can be manufactured with cheaper materials and less engineering creating a cheaper product overall. Electrical wire being used outdoors will need to resist moisture, oils, gasses and other environmental conditions in order to last a decent amount of years in the application.
That being said, 14 AWG THHN wire is typically used indoors, outdoors and in conduit. The PVC insulation with a nylon coating has been tested and approved to resist chemicals and moisture outdoors that it might come in contact with. THHN wire is use to run power from your electrical box to your outlets and lights within your home. However, installers got sick of running three or four wires for each outlet so manufacturers thought of something new.
Romex® is an electrical cable used indoors only because it has a bare copper ground wire in it that can cause a connection failure if it gets wet. It’s a cable that has two or three THHN wires and a solid copper ground placed inside the same PVC jacket for easier installation. Even though THHN wires can be used outdoors due to the insulation protection the thin PVC jacket can still be penetrated affecting the bare copper ground wire.
In order to have the cable run outdoors you would have to upgrade from Romex® to MC cable (or Metal Clad). MC cable has two, three or four THHN wires plus an additional green insulated ground wire instead of a bare copper ground wire. The benefit to having this cable is that all of the electrical wires in the cable are insulated and approved for outdoor use while the bare copper ground in Romex® is not.
You supplier should be able to discuss the different types of insulation with you that can fit in your application. They are trained to understand each type of insulation and why they might be used, or not used, in certain environmental conditions.