The evolution of the low-lying E1 strength in proton-rich nuclei is analyzed in the framework of the self-consistent relativistic Hartree-Bogoliubov model and the relativistic quasiparticle random-phase approximation (RQRPA). Model calculations are performed for a series of N=20 isotones and Z=18 isotopes. For nuclei close to the proton drip line, the occurrence of pronounced dipole peaks is predicted in the low-energy region below 10 MeV excitation energy. From the analysis of the proton and neutron transition densities and the structure of the RQRPA amplitudes, it is shown that these states correspond to the proton pygmy dipole resonance.