Now let $d=(a,b)$. So $d=ax+by$. Since $a\mid b$ , so we have $aq=b$, where $q \in \mathbb{Z}$.
so we have $d=ax+aqy$. since a divides R.H.S , so it must divide L.H.S. So $a\mid d$ Also $d\mid a$ as its GCD of $a$ and $b$. So $d=a$. I am not sure though about proof.
I would do like this:
Assume $d=(a,b)$ so $d\mid a$. On the other hand $a\mid b$ so we have $b=pa$. By Bézouts identity $$d=an+bm$$ Since $b=pa$ we get $$ d=an+pam $$ Therefore $a\mid d$ and $d\mid a$ which can only be true if $a=d$.