To add to Rob's answer, I wanted to expand on where this naming convention comes from.
The International Astronomical Union (IAU) is the organization which generally sets conventions and definitions. They're the ones who demoted Pluto to being a dwarf planet in 2006. Anyway, before any exoplanets were found, there existed a convention for naming multiple-star systems. The rule was that you gave the system a name, for example Alpha Centauri, and then the brightest star in that system is designated by "A". Any other objects are then given the letters "B", "C", etc. The Alpha Centauri system has three stars in it and so they're named Alpha Centauri A (The brightest of the three), Alpha Centauri B, and Alpha Centauri C (a.k.a. Proxima Centauri).
This convention then continued on to naming exoplanets. The star, according to this convention is "A", whereas all the exoplanets are given the letters "b" and onwards. Note that generally the exoplanet letters are lowercase, whereas they'd be uppercase for stars. Also note that if you have a star (say TRAPPIST-1) around which planets are found, the star's name doesn't then become TRAPPIST-1 A. The "A" is implicit.
Just to point out another point of interest with this naming convention, the letters of the planets don't always signify their distance from the star. That is, the "b" planet isn't necessarily the closest, followed by "c", etc. The planets are labeled at their time of discovery. Someone could find a planet, label it as "b" and then later find a second, closer planet and label it "c". It just so happens that the lettering of TRAPPIST 1 is in order because the first three were found at the same time and labeled according to distance, then the last 4 were found at the same time and labelled according to distance.
You can read more about the full set of rules concerning this on Wikipedia's exoplanet naming convention page. There are a lot of caveats such as what to do when your planet is orbiting a binary system.
The convention for planetary naming is that the closest planet to the star (if multiple planets are found at the same time) is named "star"b, then "star"c and so on. As correctly pointed out by Zephyr, if the discoveries are more haphazard, the order of discovery takes precedence over distance from the star).
So, there is no Trappist-1a. Or you can think of it being the star itself if you like, although that becomes confusing if the star is itself part of a multiple star system, where it might be known as "star"A or "star"B etc. (note, capital letters), depending on where it is in the hierarchy.
The reason is because exoplanets orbiting a star are named in the order they were discovered, starting with the letter b. Sometimes, in a system with two stars, say Alpha Centauri, there are two stars, Alpha Centauri A and Alpha Centauri B, no planes have been found in the system so far. If there were planets orbiting either one of those two stars, say for example a planet orbited Alpha Centauri A, the first planet discovered would be named Alpha Centauri Ab, and so on for Alpha Centauri B. Upper case letters are usually only used in the stars' names.