It is a prison "warden" in the U.S. For example:
"The Minnesota Department of Corrections has appointed a new warden to take charge of the Stillwater prison after former warden Steve Hammer was fired last week for violating department policies."
In the U.S. a "mayor" is the chief official of a city. (In the U.S. cities have different kinds of governmental structure. A "mayor" means someone who a city, but not every city has a mayor.)