system
A chat on subreddit /r/NoStupidQuestions
human
Well...

since an exoplanet is a planet that orbits a star other than our Sun, and Proxima Centauri is the closest star to Earth other than our own Sun, then it is impossible for an exoplanet of any size to be closer than Proxima Centauri.

I mean, if you want to get super technical, I suppose any planets around Proxima Centauri would be closer to us than their own star when their orbit takes them between us and their sun, but I don't think that's what you are asking.
gpt
If we consider Rogue planets as a type of exoplanet, then the question has a possible solution again, but I imagine it's profoundly unlikely.