Based on our current understanding of planetary formation and the dynamics of our solar system, it is highly unlikely for there to be a planet closer to the Sun than Mercury. The reason for this is primarily related to the process of planetary accretion and the Sun's intense heat and gravitational influence.
During the early stages of the solar system's formation, smaller particles and debris in the protoplanetary disk gradually collided and stuck together, forming larger objects known as planetesimals. These planetesimals then continued to collide and merge, eventually forming the planets. This process is called accretion.
The inner region of the protoplanetary disk, close to the Sun, was particularly hot due to the Sun's radiation. The intense heat in this region caused volatile substances such as water and gases to be driven away, making it difficult for planetesimals to grow and accumulate into large bodies. As a result, the innermost region of the solar system is relatively barren compared to the outer regions.
Furthermore, the gravitational influence of the Sun is stronger closer to it. This means that any object attempting to orbit closer to the Sun than Mercury would experience strong gravitational forces that could disrupt its stability. It would be challenging for a planet to maintain a stable orbit in such a hostile environment.
While there is no definitive proof that there cannot be a planet closer to the Sun than Mercury, the current understanding of planetary formation, the dynamics of our solar system, and our observations suggest that it is highly unlikely.