you don't PXE boot any Raspberry Pi except the Pi3 and Pi4
For Raspberry Pi 1, 2 and their variants, the short answer is that it is not supported.
but you can, sort of
The "firmware" on the RasPi GPU (yes it's (part of) the gpu that actually boots first and proceeds to bootstrap the cpu) will need to load its blobs from an inserted SD card - there's no way around this so you absolutely need an SD card inserted with a FAT32 partition and the right files on it.
After that, it's just software so sky's the limit. You can technically have a boot loader on the SD that proceeds to get the linux kernel and initial ramdisk with PXE - I don't know if such a thing actually exists but it is definitely possible to do.
If there is not a PXE enabled boatloader, you can prepare an SD card with just the binary blobs, the kernel and the ramdisk. Technically speaking you are not PXE booting, but you should be able to boot the kernel+ramdisk locally and then NFS-mount the root filesystem from a remote server. The SD card would need only a couple of megabytes of space and would be used strictly read-only, so I'd expect it to achieve a really long working life.
you can network boot the Pi3 and Pi4
The Raspberry Pi 3 introduced some new boot modes, including PXE over the on-board ethernet port. See PI 3 BOOTING PART II: ETHERNET for details.