Only in niche sets.
If your opponent is running a Sun team, or has more Fire types, then it would be useful once or twice to catch them off-guard. However, outside of that gimmick, it doesn't really give any real advantage over Levitate, since Ground type moves are more commonly used for coverage than Fire type moves, since more Pokemon can learn Earthquake than Flamethrower, the two most commonly used coverage moves of their type.
So in general, Bronzong would benefit more from Levitate than Heatproof, specially since you can run it in Rain teams which automatically cuts 50% of the damage received (making it 1x effective) while also benefiting other team members.