In general, with SAS/GRAPH gplot, you can't have drilldowns on the line segment (interpolation between the markers).
You can add drilldowns to the markers, using the same technique as for bar charts (one caveat is that you have to show markers on your line to do that).
You can get a bit "clever", making the markers the same color as the background, and/or annotating 'invisible' areas with drilldowns (corresponding to the lines), etc - but i usually find that showing markers on the lines, and adding drilldowns to those markers, is the best way to go.