Which constellation is closest to the center of the Milky Way?

I don't know, because the southwest corner of Sagittarius is on the projection of the celestial sphere, but the center of the Milky Way is actually at the intersection of Scorpio, Ophiuchus and Sagittarius. The stars within six stars of these constellations are not far from us, thousands of light-years at most, and far from the center of the Milky Way, at least 10,000 light-years.

We can't observe near the center of the Milky Way, and there is no concept of constellation.

So it can only be said that according to the projection on the celestial body, the center of the Milky Way is at the intersection of Sagittarius, Scorpio and Ophiuchus.