THHN is actually a type of wire insulation. So they are probably saying a single wire inside an isulation jacket. To see what kind of insulation is on the wire, just look at the insulation and it will be printed on there.
Romex is basically housing wiring. Romex itself is a brand name that got put into general use, like Kleenex is often used for various brands of snot-tissue paper. It generally comes in a three or four cable.
Cable is a generic term for multiple wires inside an outer jacket of insulation.
If this doesn't clear things up for you, take a trip out to Lowes or Home Depot and check out the different types of wires. Ask a sales associate if you have to.
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