On CentOS, the python development libraries are under the name python-devel, not python-dev.
So you should use
sudo yum install python-devel
to install them on your CentOS system.
You can search the repositories available to you using the yum search xxxxx command, where xxxxx is the name or part of the name of the package you are looking for.
Further, you may need to specify the architecture (such as python-devel.x86_64), although in my experience yum will automatically install the package that is appropriate for your system. Again, yum search will show you what is available in the repositories you currently have installed/enabled.