Could there be another planet between Mercury and the Sun? Kepler found a lot of planets orbiting its star even 20 times closer than Mercury. If there were such planets in our system - would it be possible to discover them?
No, that is not possible. There are quite a few capable telescopes studying the Sun since some decades. Already Galileo stared at the Sun until he got blind. Don't you think a planet would've been detected if it passed by in images like these? But Sun grazing comets are pretty common visitors in the corona.
It is a bit weird that a couple of percent of exoplanetary systems have hot Jupiters. They probably didn't form there, but migrated. And still stay there somehow.