You can index through Python strings with a subscript, but random access is rare enough that it's probably worthwhile to lazily index a string when needed. If you just need to advance or back up by 1, you don't need an index. So an internal representation of UTF-8 is quite possible.
Separately from that the codepoints making up the string are stored in a straight forward array allowing random access. The size of each codepoint can be 1, 2, or 4 bytes. When you create a PyUnicode you have to specify the maximum codepoint value which is rounded up to 127, 255, 65535, or 1,114,111. That determines if 1, 2, or 4 bytes is used.
If the maxiumum codepoint value is 127 then that array representation can be used for the UTF-8 directly. So the answer to your question is that many strings are stored as UTF-8 because all the codepoints are <= 127.
Separately from that, advancing through strings should not be done by codepoints anyway. A user perceived character (aka grapheme cluster) is made up of one or more codepoints. For example an e with an accent could be the e codepoint followed by a combining accent codepoint. The phoenix emoji is really the bird emoji, a zero width joiner, and then fire emoji. Some writing systems used by hundreds of millions of people are similar to having consonants, with combining marks to represent vowels.
This - - is 5 codepoints. There is a good blog post diving into it and how various languages report its "length". https://hsivonen.fi/string-length/
Source: I've just finished implementing Unicode TR29 which covers this for a Python C extension.