Well, that sentence doesn't make sense in English.
The phrase "cosa prova per" is a set phrase meaning "how he/or she feels about ...".
"Lui" is placed at the front of the sentence to emphasize / inform that it is "he" (instead of "she" or formal "you", which could also go with "prova").
More examples of "cosa prova per" in sentences: https://context.reverso.net/translation/italian-english/cosa+prova+per
And, of course, "provare" can be conjugated: https://dictionary.reverso.net/italian-english/cosa%20provo%20per%20lei
Ho detto ad Iris cosa provo per lei. I told Iris how I feel about her.
Be', tutti sappiamo cosa provi per lui. Well, we all know how you feel about him.
Sapevo esattamente cosa provavi per me. We knew exactly how you felt about me.