Earwax acts as a lubricant and, if there's enough of it (really doesn't take much) around the tips, it will cause them to jostle loose and break their seal as soon as they start making any kind of sound (which is vibration, right?) no matter which size or style (silicone vs memory foam, etc.) tips you use.
If you're seeing wax on your AirPod Pro tips when you take them out of your ear, this could be the reason for your poor seal. Try cleaning the wax out of the edges of your ear, where the tips would come into contact with your ear - but be very careful not to insert objects such as q-tips or anything actually into your ear. Also try cleaning the wax of the tips as best as you can too (
Apple's guidance --
do not engage any power to any part after cleaning until it is completely dry). Waxy tips may be slick in your ears and jostle loose with the sound vibrations.
If your AirPods Pro won't stay sealed despite your best attempts to remove earwax or try all sizes and styles, return them if you still can; there is nothing that Apple - or anyone else - can do to achieve noise cancellation in your ears with an earbud-style headphone. Consider instead over-the-ear headphones that have a better chance at maintaining their seal, or save yourself some money with regular AirPods, because if you're not regularly maintaining that seal, your AirPod Pros are literally not delivering anything that the regular AirPods can't deliver.