I think that the answer is yes. It looks like you can prove it by relying on a convenient proof of Ado's theorem.

Procesi's book, "Lie groups: an approach through invariants and representations", has the following theorem preceding the proof of Ado's theorem:

**Theorem 2.** Given a Lie algebra $L$ with semismiple part $A$, we can embed it into a new Lie algebra $L'$ with the following properties:

- $L'$ has the same semismiple part $A$ as $L$.
- The solvable radical of $L'$ is decomposed as $B' \oplus N'$, where $N'$ is the nilpotent radical of $L'$, $B'$ is an abelian Lie algebra acting by semisimple derivations, and $[A, B'] = 0$.
- $A \oplus B'$ is a subalgebra and $L' = (A \oplus B') \ltimes N'$.

With all of that, the idea is to first prove the refinement of Ado's theorem for $L'$. We need a particular refinement: Let $\tilde{A}$ be the maximal algebraic semisimple Lie group with Lie algebra $A$, and let $\tilde{B'}$ and $\tilde{N'}$ be the contractible Lie groups with Lie algebras $B'$ and $N'$. If we can find a closed embedding of $(\tilde{A} \times \tilde{B'}) \ltimes \tilde{N'}$ in a matrix group, then it will restrict to a closed embedding of the Lie subgroup of the original $L$.

In the proof of Ado's theorem that follows, the action of $N'$ is nilpotent, so the representation of $\tilde{N'}$ is closed and faithful. The Lie algebra $L'$ has a representation which is trivial on $B'$ and $N'$ and generates $\tilde{A}$. It has another representation which is trivial on $N'$ and $A$ and for which the action of $B'$ is nilpotent. If I have not made a mistake, the direct sum of these three representations is the desired representation of $L'$.