You could start with the world map shipped in SAS, and then just select out all the countries/territories you want. Of course, by default they would just be in their proper lat/long location, and you probably want them scooted over closer to the US(?) ... in which case you'd have to determine what x/y offset to apply to each of the territories to place it in a convenient & aesthetic location closer to the US. You might also have to re-size some of them (by multiplying the x/y by some factor before moving it). This is the technique that was used to create the maps.us, with Hawaii & Alaska scooted closer to the US (and Alaska resized smaller to 'fit' better).
Another option would be to find map geometry someone was already created like that, and then use "proc mapimport" to import it into SAS.
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