Not that I know of (using SAS for 27 years). I would just write a macro loop to append the data for each case and do any analysis. Something like:
%do i=1 %to 1000;
set A A_&i;
proc reg data=Aplus;
*--- etc. ----;
I absolutely agree with data _null_ - I would want to avoid 1000 datasetps & 1000 proc regs - there is almost always a better solution by restructuring the problem - one way being the one suggested - however, there are rare times when you just gotta bite the bullet and muscle through the 1000 or more steps.