When the question asks for K closest points, a heap or some sort of sorted data structure tends to work out well. Here we chuck them into an array, heapify them, and return the closest points to the origin.
class Solution:
def kClosest(self, points: List[List[int]], k: int) -> List[List[int]]:
points = [(math.sqrt((p[0] * p[0]) + (p[1] * p[1])), p) for p in points]
heapq.heapify(points)
return [heapq.heappop(points)[1] for _ in range(k)]