Pilot reported receiving a terrain warning while inbound to ROA.

Narrative

It was a night flight from ZZZ1 to ROA. We were receiving vectors for the RNAV 24 approach into ROA. The Approach Controller's vectors brought us east of the airport. At this time we were maintaining 5;200 ft. as per our altitude assignment. Approaching roughly 10nm east of PROSE; approach cleared us direct to PROSE. When the aircraft had finished the turn to the fix; we were roughly on a 270 heading. We then received the clearance to cross PROSE at 5;200 ft. and cleared for the RNAV 24 approach. While enroute to PROSE at 5;200 ft.; we received a ground proximity indication; and an aural message 'Terrain' followed by 'Pull up.' Moments later I disconnected the autopilot; applied maximum thrust and initiated a climb to 7;000 ft. The indications ended shortly after we started climbing. The FO (First Officer) promptly reported our situation to the Controller. The Controller could not provide us with a reason as to why we got the indications; as according to the Controller; we were above the highest obstacle in the area. The Controller gave us a new clearance for the approach and we did not receive any further ground proximity warnings.