It's maybe worth pointing out that the Euclid proof does not need to say anything about the n primes you start with. They don't need to be consecutive. They don't need to be ordered. They don't need to be the first n. They don't even need to be unique. Take *any* n primes, multiply them, add 1, this new number must be divisible by a prime that you didn't start with, though it need not be prime itself. This guarantees that for any finite list of primes, you can always add one more.
pi (really p_i) is often used to denote the nth prime in number theory, but not always, so you can usually expect an explicit statement to this effect. If someone writes "some primes p1, p2, ..., pn" there's no reason to assume any other meaning than some collection of n numbers that are all prime.