Why are the pulmonary vein and artery not like the rest of circulatory system?
It is true that nearly all arteries carry oxygenated blood and nearly all veins carry de-oxygenated blood, but that is not what defines them. Arteries are blood vessels that carry blood away from the heart, and veins carry blood towards the heart. If you look at the situation in that light, the naming makes sense: the pulmonary artery is carrying de-oxygenated blood away from the heart to the lungs, and the pulmonary vein is carrying the re-oxygenated blood back to the heart, to be pumped through the rest of the body.