You can use Linq OrderBy like
using System.Linq;
...
// Wherever you get this from
List<EachEnemy> allEnemies;
// Sorted by the distance to this object
var sortedEnemies = allEnemies.OrderBy(enemy => (transform.position - enemy.coords).sqrMagnitude);
// Or depending on how your class is used simply
//var sortedEnemies = allEnemies.OrderBy(enemy => enemy.distance);
// This would return null if the list was empty
// Or the first element of the sorted lost -> smallest distance
var nearestEnemy = sortedEnemies.FirstOrDefault();
Note that using
OrderBy(enemy => (transform.position - enemy.coords).sqrMagnitude);
Would be more efficient than actual calculating the distances first since it skips using a square root on all the vector sqrMagnitudes. Since a > b also implies a² > b² and we know that a magnitude is always positive it is enough to know the sqrMagnitudes of all the delta vectors in order to sort them.
The advantage of this would be that you can also get the second and third closest enemies etc.