The definition of insanity is irrationality and a lack of awareness of said irrationality. For example, schizophrenics don't usually believe that they are having auditory/visual hallucinations, despite the fact that what they are having are, in fact, hallucinations. Thus, generally, an insane person would not believe they were insane.
Given that premise, any attempt to prove one's own insanity would be direct proof of sanity.
EDIT: However, simply claiming not to be insane is not proof of insanity, since most people aren't insane and claim to be sane. Therefore, it's impossible for a person to prove that they, themselves, absent outside influence.