Why pulmonary artery carry deoxygenated blood?
Let us examine definition of artery:
It is a blood vessel with elastic wall, that carries blood away from the pumping heart, under high pressure. Pulmonary artery takes away blood from heart to lungs. It also has elastic wall to counter high blood pressure.
Pulmonary artery arises from right ventricle of heart. Right ventricle in turn receives blood from right atrium. Right atrium receives deoxygenated blood from all over the body through superior vena cava, inferior vena cava and coronary sinus.
So, pulmonary artery receives deoxygenated blood from right side of heart. This is nature's design that this blood enters lungs for unloading of carbondioxide and subsequent loading of oxygen can take place.
It is true that other than pulmonary artery, all arteries carry oxygenated blood.
Oxygenated blood from lungs returns to heart by pulmonary veins, which is also an exception.