Proc Geocode (part of SAS/GRAPH) is probably what you are looking for. It was added in SAS 9.2. It does various forms of geocoding (address to location conversion) including ZIP Code and Street Address.
Given a data set that has a ZIP Code field/variable, it will add the Lat/Long values from sashelp.zipcode.
Note that ZIP Codes change frequently and updates to SASHELP.ZIPCODE are published Quarterly on the Maps Online site mentioned.
Other questions about ZIP Codes and Geocoding will get attention in the SAS/Graph community.
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Use this tutorial as a handy guide to weigh the pros and cons of these commonly used machine learning algorithms.
Find more tutorials on the SAS Users YouTube channel.