Technically, you could change the data object to a sql view which performs a UNION between the table with data and a single row with Other as data value. Then metadata register the view and use that in stead. There is no way of combining the dynamic list of values with other values within the prompt GUI.
However, you may consider if that is really worth the effort. What is supposed to happen if Other is selected? If you do not select the "Requires a non-blank value" tick box, the user is not obliged to make a selection and you can test if the underlying macro is empty, ie. no selection was made
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Learn how use the CAT functions in SAS to join values from multiple variables into a single value.
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