Finding closest edge to a point in a planar graph
Use a Voronoi diagram of the line segments
As @D.W. noted, a Voronoi diagram of line segments1 is the usual way to approach this problem. It is possible to construct such a diagram via a modification of the Bentley-Ottman sweep-line algorithm for ordinary Voronoi diagrams (on points), see for example Section 7.3 of Computational Geometry by de Berg et al. But I don't think you should do this.
Don't use a sweepline algorithm
However, while sweep-line algorithms are nice in theory, implementing them in a robust and efficient manner turns out to be quite difficult in practice. I think this goes doubly so for the Bentley-Ottman algorithm. Therefore, in the field of algorithm engineering, which concerns itself with implementing algorithmic ideas on a computer, (randomized) incremental construction methods are usually preferred. These methods are much easier to make robust and are dynamic (support modifications efficiently) by default2. The (expected) running time is also often not so bad in theory, and can beat the theoretically superior algorithm in practice. (if someone managed to implement the other algorithm effectively, that is).
Use random incremental construction
I recommend the algorithm by Karavelas (described in this conference paper ). It computes a line segment Voronoi diagram in $O((n+m)\log^2 n)$ expected time, together with a hierarchical structure that supports nearest neighbor queries in $O(\log^2 n)$ expected time. (Here, $n$ is number of segments, and $m$ the number of points)
This algorithm is implemented in the CGAL library, see this manual page for the details.

1: Formally, this is only a proper generalisation of a Voronoi diagram if the line segments are disjoint, because if the nearest point is point shared by two segments, we cannot uniquely determine its cell. If these line segments form the embedding of a planar graph, they only intersect at the end-points. In this case, we can often get away with shrinking the segments a tiny bit s.t. the endpoints are now disjoint. Another option is to consider the open segments and their endpoints as 3 separate objects, and make a Voronoi diagram of those.
2: More precisely, insertion is already implemented, and deletion is usually not too hard to add.