Can I target a hexproof opponent in order to trigger prowess?
No, you can't. Part of the process of casting a spell is checking whether it's legal to cast:

601.2e The game checks to see if the proposed spell can legally be cast. If the proposed spell is
illegal, the game returns to the moment before the casting of that spell was proposed (see rule
721, “Handling Illegal Actions”).

If any chosen target is illegal, the game reverts to its state right before you started casting Thoughtseize, so Prowess never triggers.