The uses are different. Do you ever go into town? Yes. I have a PE class which always starts with a 4k run. Our route goes there. (I’m giving you facts about my PE class) What’s your next class? I have PE. (I’m talking about my schedule, not about my class.)

Two Kids: What do you have after lunch? (I have) P.E.

It’s a short way of saying that you have a PE class. You can use it if the other person knows what you are talking about.