Yes, there is such a thing as complex prime numbers.

If you restrict yourself to looking at numbers whose real and imaginary parts are both integers, then you have a ring called the Gaussian integers. A Gaussian integer a + bi is prime if and only if neither a nor b are zero and a^2 + b^2 is a prime number in the integers, or it is a product of +-1 or +-i and a prime integer of the form 4k+3.

Rabbit hole begins here: https://en.wikipedia.org/wiki/Gaussian_integer#Gaussian_prim...