There is no official left-luggage facility at Poroy Station, presumably because there just isn't the demand for such "All the hotels in Cusco & the Sacred Valley will store luggage for you if you stay there either before or after your visit to Machu Picchu, with no charge".
It has been possible to drop off luggage at PeruRail's free facility in Ollantaytambo station en route to Machu Picchu and collect it again on the way back but this is not 'routine'. (There are 'STRICT' weight and quantity rules for the trains but these have never been enforced.) The normal arrangement is to leave it at a hotel, the nearest of which to Poroy are in Cuzco.
where is the closest luggage facility to Poroy station?
And the nearest of these (as the crow flies) to Poroy Station (according to TripAdvisor) seems to be Tocapu Boutique Hotel where a night's stay is around USD40. In connection with luggage comments on TripAdvisor include:
8 July 2016 The staff also stored our luggage during our trek.
23 November 2015 My wife and I stayed at Tocapu for 3 nights to acclimatize to Peru, then stored our luggage at Tocapu during our 4 day Inca Trek (free storage!).
9 July 2015 We were able to leave our luggage for a couple of days in the hotel while we went to other place in Peru.
In reality whichever hotel you choose to stay in in the area would make more sense to me, or if not staying in the area and arriving by air, somewhere in or nearer the airport.