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RDS Proxy is a managed connection pool for RDS. As such, it creates a pool of connections to the database. The clients create the connections to the proxy. There is not a 1-1 relation between client connections and database connections. Whenever a request is received from the client, the proxy will take a connection from the pool, perform the request and return the connection to the pool.
Given the above, your application can create and destroy connections and will have little effect on the database connections. Saying that, it is recommended that you will maintain the connection between your Lambda function and the proxy to reduce execution time.
You can find more information about connections settings here
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Thanks for the clarification. The only reason I wanted to close the application connection was to prevent database connection closed error after long period of inactivity. Now that rds proxy re-uses the db connection during the application idle period, I don’t think there would be any database connection closed errors (need to make sure there is no connection pinning to allow db connection re-use)