THHN stands for "Thermoplastic High Heat Resistant Nylon Coated". The W is for wet location. There are a lot of manufacturers making dual rated THHN THWN wire now. It is usually marked as such. While NM, UF, etc (Romex is a brand name) can be sleeved in conduit for protection, it is not rated to be used there due to the heat rating of the wire. If it is used in conduit, it may have to be de-rated. However, NM cable is not rated for wet applications as UF cable is. Most wire inside a NM jacket is THHN wire. However, you can not remove the jacket and maintain the UL listing for the wire as the wires inside the jacket do not have any labeling on them. I am a bit surprised to the inspectors comment but, seeing he is not an electrical inspector familiar with pool wiring safety,not too surprised. Not following the codes in some cases does not pose too much of a threat to human safety. Not following the codes with pools is not something I am not comfortable with