Unfortunately protons have all sorts of annoying properties that make this difficult. The closest analog to what you are suggesting is an IEC device, like a Farnsworth fusor. Although these devices will reliably and stably fuse atoms the total amount of energy produced is only a fraction of what goes in to make it work. Plus the energy carried away by the components of the reactor seem to put a damper on any kind of scaling, tho Polywell fusor does seem promising (uses magnetic fields to support the charged particles and also prevent electrons from leaching energy). George Miley also seems to have suggested a pulsed IEC might scale.
I think Winterberg has pointed out you can also use the energy of the fusion to prolong a pulsed burn if you set up the right initial conditions. I downloaded all of his papers once thinking it might be an interesting series of experiments in high voltage and pulse generators. I don't think the neighbors would appreciate it tho - 1 wrong zap and every electronic gizmo in a 1/2 mile radius is fried. Plus strong x-rays might be hard to contain without a big ball of dense plasma - which is really hard to contain.
The real irony is plain old fission with plain old thermodynamic energy conversion (ie some Rankine cycle variation) is fairly easy to build and could be relatively cheap (thorium) and scale down well (40KW - 1MW). However the attention and care necessary to prevent a radioactive contamination disaster is substantial and probably beyond reasonable for ubiquitous deployment. Too bad for my neighborhood nuclear power plant program...maybe if we had developed serious reprocessing technology it could have been used to clean up spills and such.
Other people are using lasers to confine the protons.
Some people have probably suggested putting the two together.
But why not go one step further?
Imagine a toroidal aquarium surrounded by a magnetic field, and imagine sharks with lasers swimming in that aquarium.
Now we're talkin'!