Theorem: If v$_1, $v$_2,...,$v$_n$ are elements of a vector space $V$ then Span(v$_1, $v$_2,...,$v$_n$) is a subspace of $V$.
I understand the proof of the closure properties under addition and scalar multiplication, but what I am confused about is why Span(v$_1, $v$_2,...,$v$_n$) is a subset to begin with.
A subset will contain elements of $V$ and the theorem states that v$_1, $v$_2,...,$v$_n$ are elements of a vector space $V$. So then why is Span(v$_1, $v$_2,...,$v$_n$) a subset when it doesn't contain elements of $V$, since it is the set of all linear combinations of v$_1, $v$_2,...,$v$_n$?
First keep in mind (as you have said) that $v_1,v_2,\ldots,v_n$ are in $V$.
Since $V$ is a vector space it is closed under scalar multiplication, so all possible elements $\alpha_1v_1,\alpha_2v_2,\ldots,\alpha_nv_n$ are in $V$.
Since $V$ is a vector space it is also closed under addition. So all possible elements $\alpha_1v_1+\alpha_2v_2+\cdots+\alpha_nv_n$ (that is, linear combinations) are in $V$.
But such expressions are exactly the elements of ${\rm span}\{v_1,v_2,\ldots,v_n\}$. So all elements of ${\rm span}\{v_1,v_2,\ldots,v_n\}$ are in $V$.