The term Artist proof refers to a piece, several usually, that is initialy made to show the artists including designers, sculpters, painters how the finished product will look before full production goes ahead.
As such, they are not retail pieces and don't usually carry a COA to assure the buyers of the normal production pieces. Some AP's do get sold on privately or for charity auctions etc, these are sometimes provided with a supporting COA as legitimate sellers recognise the value of such pieces and have no problem with providing a provenence of it's origin for the buyer
Aps have a signed COA on special paper from the creative director. To my knowledge there are only 5-10 out there and 1 was sold for a charity auction on ebay.