Are we sure there are no planets inside Mercury's orbit?
Yes, Vulcanoids larger than 5.7 km diameter are considered to be ruled out:
A Search for Vulcanoids with the STEREO Heliospheric Imager.

An object sufficiently large to be called "planet Vulcan" would change Mercury's orbit in a detectable way by gravity.

So, there are two lines of evidence, that such a planet doesn't exist.

More to read in Wikipedia:
https://en.wikipedia.org/wiki/Vulcan_(hypothetical_planet)