The Heine-Borel theorem is stated as follows:
Suppose $\mathcal{H}$ is an open covering of a compact set $S \subseteq \mathbb{R}$. Then $S$ is of an open covering $\tilde{H}$ consisting of finitely many open sets belonging to $\mathcal{H}$.
Here, an open covering $\mathcal{H}$ of $S$ is defined as a collection of open sets such that every point $s \in S$ can be found in a set $H \in \mathcal{H}$. I am wondering if there is a specific reason why $\mathcal{H}$ is called a collection instead of a set. If this $\mathcal{H}$ cannot be constructed using rules from the set theory, how to interpret the use of it?