We use different alphabets and characters written differently to be able to avoid confusion about what letter means n a given context.
Since the whole tradition got startet when Latin and Greek were still a standard part of a proper education in Europe, they were characters every knew and recognized and that could be printed with existing types.
Note that we rarely use Greek letters that look too much like Roman letters in Math and Physics.
We also use stuff like Blackboard Bold letters like ℚ, ℝ and ℤ to get more sets of characters than just Roman and Greek in large and small caps. In rare cases characters from other alphabets and abjads and other character sets like ℵ the Hebrew letter Aleph used for differentiating different sizes of infinity.
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