How to translate "Closed" in Opportunity?

It seems the answer is "no".

I have no documentation to support it other than to say I see the same behavior you do even following all the scenarios presented in these answers.

When you change languages, it's automatically translated and it's the language-specific version of "Closed". The fact that it's automatically translated hints that this may be some standard value that you cannot change.

The screenshot @Roxana pasted shows an example as it shows the German word for "Closed". I see the same when setting my language to German, but I'm not able to change it to be a different word as you're asking (and as you can do for the custom picklist values). It seems it will always be the value of Closed.