Until recently the only hot-Jupiter exoplanets known with orbital periods below one day were the four discovered by WASP-South (WASP-18b, WASP-19b, WASP-43b and WASP-103b). But last month HATSouth reported that HATS-18b has a 0.84-day period and now KELT have announced KELT-16b at 0.97 days.
The KELT team, lead by Thomas Oberst, have produced this figure showing planetary masses against orbital separation (semi-major axis):
One can see that all the planets just mentioned are Jupiter-mass or heavier. There are relatively few planets in the blue-shaded region, where they would have both Neptune-like masses and very short orbital periods. There are, though, Earth-mass planets known at these orbital periods. The paucity of short-period Neptunes cannot just be a selection effect, since they would have been readily found in the Kepler mission.
Instead, the currently favoured explanation is that planets in the blue-shaded region would rapidly be evaporated and be stripped down to their cores. At such short separations from their stars planets are subject to high irradiation and tidal forces. The combination can inflate the planets to the point that their atmospheres “boil off” and overflow the planet’s Roche lobe.
They avoid this fate only if the planet has enough mass, and thus gravity, to hold on to its atmosphere. Thus, at these very short orbital periods, we see either large, Jupiter-mass planets, or small, dense, rocky planets (possibly remnant cores of evaporated larger planets) — but not any in-between planets the size of Neptune.