Before dealing with the Level api, we need to focus on the thin difference between a level and a world.

To be rough, the matter is at the implementation level.

A UWorld is a container for actors, but for allowing features like 'level streaming' (common in open worlds game, where you cannot completely load a huge level but instead you load only the currently-relevant fractions of it), a UWorld can be mapped to one or more "levels".

To be more clear: when you create a new Level (or a new 'map' in some naming convention) you are effectively creating a new UWorld asset (it has even a factory !):

from unreal_engine.classes import WorldFactory

factory = WorldFactory()
new_world = factory.factory_create_new('/Game/Maps/FooLevel')

The new_world object is effectively a UWorld. Whenever you create a level from the editor you are creating a world (yes, it sounds weird...)

Now, sometimes (like in the open world example before), you want multiple of this world to be active at the same time in the same viewport. But a viewport is mapped to a single world, so an additional abstraction (ULevel) is required.

So by default, for each UWorld you have a ULevel object representing it, but you can load additional UWorld's and 'combine' them with the 'main' one.

Let's try to clarify things wth another example (read comments carefully):

from unreal_engine.classes import WorldFactory

factory = WorldFactory()

# create a world (it will be the main one, the one you load into the editor by double clicking it)
main_world = factory.factory_create_new('/Game/Maps/MainWorld001')

# create another world
child_world1 = factory.factory_create_new('/Game/Maps/ChildWorld001')

# create another world
child_world2 = factory.factory_create_new('/Game/Maps/ChildWorld002')

# now the important part, each UWorld, has a ULevel mapped to it (the PersistentLevel):

main_level = main_world.PersistentLevel
child_level1 = child_world1.PersistentLevel
child_level2 = child_world2.PersistentLevel