Table names in SAS aren't case sensitive but files under Unix/Linux. So what should "SAS" do if there are two .sas7bdat files in a folder where the names only differ in the casing (which under Unix/Linux is possible).
It makes to me a lot of sense that SAS stores all tables physically in lowercase only and that there isn't an option to change this behavior - as it would only be a recipe for a big mess.
SAS table names in the SAS data dictionary are stored in upper case. I guess it's upper case as that's been the "standard" casing in Mainframe environments. I guess EG just shows the names as per data dictionary.