As one of Thanos’ several minions, Proxima Midnight played a vital role in the story of Infinity War, helping collect the various Infinity Stones and fighting for Thanos in the climactic battle of the film, only to be slain by Scarlet Witch. Avengers: Endgame featured a time-traveling plot-line that saw the return of many familiar faces and events, and could easily have justified a more involved return for Proxima if things had worked out. Proxima does appear in the final battle of Endgame, but does not have any speaking lines due to Coon’s absence.
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As has been suggested by many actors in the past, it seems that landing a gig as a Marvel character is a somewhat obscure process. Coon explained she was only given some unspecified voice lines to read during her audition. “I got a voice-over audition; it was not specified what the project was. They were being very secretive about it….” Despite the secrecy, the Russo brothers were reportedly fans of Coon’s previous roles on The Leftovers and Fargo, and were excited to see what she could do with the character: “I was given some of the lines that did end up being in the film, [The Russos] were excited about the possibility of me actually physicalizing the character as well.”
Unfortunately for fans of “The Children of Thanos,” as they are called, it seems unlikely that Proxima Midnight or her brothers will ever return to the Marvel Cinematic Universe, having been all snapped out of existence by the finale of Endgame. Anyway, the Marvel Universe is looking to keep things more low-key for the moment with the upcoming Black Widow film. Never say never though, as Coon points out: “No one [in the Marvel universe] ever dies. It’s very possible I could have my own Avengers movie next, but I wouldn’t hold your breath.”
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Source: Entertainment Weekly