Why is a screen used to sand drywall, but paper used to sand wood?
Gypsum drywall and it's paper covering, spackle and joint compound are much softer than wood (except perhaps balsa) and produce a lot of dust that clumps together and sticks to sandpaper, rather than falling off as wood shavings do. The "holey" sanding sheets allow dust to fall through and therefore last longer on drywall.

However, they can be used interchangeably, if of the same grade, to achieve similar results, with the caveat that it might take more sanding sheets and more time if they're used at cross-purposes. For small jobs that may not matter.