Bubble nuclei are characterized by a depletion of their central density. Their existence is examined within three different theoretical frameworks: the shell model as well as non-relativistic and relativistic microscopic mean-field approaches. We propose $^{34}$Si and $^{22}$O as possible candidates for proton and neutron bubble nuclei, respectively. In the case of $^{22}$O, we observe a significant model dependence, thereby calling into question the bubble structure of $^{22}$O. In contrast, an overall agreement among the models is obtained for $^{34}$Si. Indeed, all models predict a central proton density depletion of about 40%. This result provides strong evidence in favor of a proton bubble in $^{34}$Si.