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I've definitely seen examples of close third that are exactly like you're describing -- an unobtrusive psychic narrator observing the protagonist. But I'm not sure that's exactly the same as what I'm thinking about, where a paragraph might begin
If they'd found found the secret door, that'd be awkward.
Rather than, for example
If they'd found the secret door, he thought, that would be awkward.
In the former, the contraction "that'd" is part of the personal style of the character who's thinking. In the second, that personal style would seem odd, as the narrator reports the thought of the protagonist. I would say the first example is close third and the second is much less close. When handling the story the first way, it also seems possibly okay to write
Fact was, they should of tried harder.
which contains two elements of personal style -- the missing "The" at the beginning and the "of" construction. But would the reader feel both those elements are okay? It's hard for me to decide!
If you like close third, I really noticed this as a narrative choice when reading a lot of CJ Cherryh's books. Nearly all, maybe all, of her books are written in very close third. That may contribute to why I love her writing so much. If you haven't tried her books, it's hard to know what to suggest, she's got so many and some are formidable.
If you like fantasy, then maybe Fortress in the Eye of Time. For SF, I think it's hard to beat Cuckoo's Egg.

I've definitely seen examples of close third that are exactly like you're describing -- an unobtrusive psychic narrator observing the protagonist. But I'm not sure that..."
Thanks so much for the recommendations, I'll check them out! And for the response, so cool!
It's tricky, you're really making me think. Because in your new example, the first is more appealing to me as a reader than the second. I expect in a close third to get direct thoughts in the "tone" of the character, so that wouldn't trip me up. When I think of well-done close third person narration, I think of examples with no (or really scarce) "he thought" kinds of reporting/distancing devices.
Maybe it's just the "should of" example that's not sitting right? If this character is writing something down without spell check/autocorrect, he would write, "I should of tried harder." If this character is speaking, there's no material difference between "should of" and "should've." So maybe it's just a case of (from my point of view!) the juice feeling not worth the squeeze. The squeeze in this case being readers who are so tripped up on it that they write in corrections.
Does the narrator use other instances of stylized grammar for this character? Like "gonna," "wanna," etc.? If "'ve" versus "of" is the only grammar rule-bending stylization, it could be that's why it feels out of place instead of immersive.
I'm also thinking there's an overlap here on tastes and preferences around transcribing dialects—which can vary greatly! Transcribing dialects is one of the trickiest things an author can do, I think.
It really is a taste and preferences thing. A recent close third person example that I loved is N.K. Jemisin's The City We Became. It has one first person narrator and several close third person narrators. For me, it hit the balance that I personally enjoy in a close third that marries the benefits of first person and third person.

The thing is, I do hear a difference. That's why that's a hard one for me.
You're right that transcribing any kind of dialect is hard! In the end, based on everyone's feedback, I've taken out all but two "of" constructions in the story.
Thanks for your recommendation -- I've loved other works by Jemisin, but that's one I haven't tried.
My vote is to limit stylized grammatical choices to mostly dialogue and in direct thoughts.
Close third person is my favorite point of view. I think close third person works best when it doesn't mimic first person point of view with different pronouns. In first person narration, I expect the character's dialogue voice to match their narrative voice exactly. In third person, I expect authentic dialogue and a third person narration that captures the essence and flavor of a character—but doesn't have to match exactly.
I don't know if this is helpful or makes sense, but this is how I think of close third person narration—it's like a psychic. The narrator is "in the head" of the character, so they are a reliable transcriber of feelings. Sometimes, the narrator is telling the story filtered through their own lens (allowing, for example, for a character who is more plain-speaking to have understated moments of eloquence or for a multi-character POV story to have echos and callbacks through narration). Other times, the narrator is more directly channeling the character and the character voice takes over the narration.