The planets closer to the Sun than the Earth are indeed hotter than the Earth is. But that still doesn’t make them hot enough to melt the rocks that they are made from!
Mercury is the small, rocky planet nearest the Sun. The side that faces the Sun has a temperature of around 430℃. Remembering that 100℃ is the temperature at which water boils, that make 430℃ very hot indeed. In fact, it’s hot enough to melt some types of metal, like lead.
However, Mercury is not made of lead. It is made of rocky materials that have melting points above about 600℃.
So while Mercury is indeed very hot, it is not hot enough to melt. And certainly not hot enough to boil or turn into gas.