> Do we have evidence that it is not possible to..

No, I don't think so, it's just that no-one's ever been able to construct a perpetual motion machine, so that inability is codified into a presumption that energy can't be created out of nothing (for example). That is an axiom AKA a law of thermodynamics.

I guess there's no possible proof of it but feel free to try making your own PMM - you'll make a fortune if you succeed!