Let me say, first and foremost, I am not a certified personal trainer (yet). I'm just a lover of fitness and the human form, sharing information that I uncover while I'm on my own fitness journey. Now, that being said...
Since thigh gap is really based on 2 things - muscle density and hip placement, it is possible to close the gap to some extent by building your leg muscles and glutes.
Please, keep in mind that building that while your thighs themselves may close in with more muscle, it is still possible that you may have a gap at the top of your thighs near your pelvic area.
The best advice I could give you outside of that is to embrace your body the way it is, but build your body into the best specimen it can be.