There is no difference. Similar to how some say “Tomayto” and some say “Tomahto” for Tomato, it is ultimately the same type of insurance that life insurance companies refer to differently. Final expense insurance, or burial insurance, is a type of small whole life insurance policy aimed at covering the costs of your funeral, also known as your “final expenses”. Some companies also call it funeral insurance.
To recap, final expense insurance = burial insurance = funeral insurance.