It resembles an Aji type.

Here is a link that might be useful: Aji Limon

Or the "Bulgrian Carrot." It was one of the many types I grew last year. Either way, it looks to be a hot pepper type. Let at least one of the peppers fully mature and save some seeds from it. You can always try growing some from the seed next year.

FataMorgana

Here is a link that might be useful: Bulgarian Carrot

Both of those seem to be orange while mine are lemon yellow. Maybe a yellow cayenne?

Aji Limon is yellow, but it is important to note that many peppers go through different color stages. Some do go from green to one color only, but they may also go from green to yellow to orange to maybe even red when fully ripe.
There are a lot of different hot peppers out there. If you bought it though, it should be a more popular variety.
You could try asking over on the Pepper forum. Some people frequent there that do not come here.
Remy

Here is a link that might be useful: Yellow Chili Pepper photos

As Remy says, there are certainly many yellow peppers to check out. I was only offering another possibility that was pretty close from my own experience.

But I wouldn't think it is a cayenne variety, though. The cayenne varieties I've grown tend to be longer and thinner than what you are growing. But anything is possible. Not every gardener gets the same results.

Thanks for that link, Remy! That is a cool site. Browsed the yellow peppers and spotted my favorite yellow - "lemon drop." It's not a match for the OP's pepper, but one to check out. Hot and lemony-flavored - great for salsa and more.

FataMorgana