Shadows of Amn IS Baldur's Gate 2, Throne of Bhaal is the later expansion. If you started out inside a dungeon with a guy named Irenicus torturing you, then you're playing Shadows of Amn (should be around level 8, depending on class).

I would guess that it says "Throne of Bhaal" because you installed BG2 complete from GoG, which includes both the original BG2: Shadows of Amn as well as Throne of Bhaal, the expansion. Since the expansion is installed, your game is the "Throne of Bhaal" version, so to speak.

As for just playing BG2, you miss out on backstory and the adventure that is BG1, but BG2 can easily stand on its own - you're not going to be confused or lost. That being said, for a pittance of $5 you can pick up the original Baldur's Gate here on GoG and install either BGT or TuTu so you can enjoy the story using the convenience of the BG2 engine, which I personally find more enjoyable than having to switch between the BG1 and BG2 engines for a complete play through.