Is the phase he who laughs last a pronoun?

No, the phrase "He who laughs last" is part of an idiom (a saying).

The complete idiom is "He who laughs last laughs best."

A pronoun is a Word that takes the place of a noun in a sentence.

The pronoun in the given sentence is he.

In the context of the sentence, the pronoun 'he' is taking the place of the noun 'person'. "A person who laughs last laughs best."