In the hard vacuum of space any material hot enough will quickly evaporate as soon as its molecules are able, thanks to thermal energy, to break the bond with their neighbors.
Add to this the energetic interaction with the stellar wind in such a close proximity to the star, and it's easy to easy that ablative effects will prevail, with the body slowly evaporating into space, the faster the lower its gravity is.
For a reference, Mercury has a tail
Long exposures of our Solar System's innermost planet may reveal something unexpected: a tail. Mercury's thin atmosphere contains small amounts of sodium that glow when excited by light from the Sun. Sunlight also liberates these molecules from Mercury's surface and pushes them away. The yellow glow from sodium, in particular, is relatively bright.