Using just "proc gmap", I think the answer is No.
There are some tricks that could possibly work-around the problem, if you are into doing a bit of tricky coding...
You could use "annotate" to draw a legend.
You could create 2 separate gmaps, each with a different legend, and then use "proc greplay" to overlay the 2 maps (and the 2 legends) together. (You would want the 2 maps to be in the exact same place, but the 2 legends to be in different locations).