Did you check: Documentation for installing SAS 9.4 in z/OS operating environment ?
Do you a good background in Z/OS?
http://support.sas.com/resources/papers/sgf09/314-2009.pdf Mainframe approach did change a lot but got out of focus
If you would like SAS_VA.... The only supported OS I fond in the doc-s/reqs are Linux: Redhat 6 and up Suse-10 and up.
Suse-10 could be run on mainframe hardware but it is not z/OS. At z/Os a lot is gone to the Unix parts of that system.
When you read the z/OS installation instructions you will see those chapters.
---->-- ja karman --<-----