When you specify a matrix of character values, use quotes if you want to preserve case. Otherwise the values are UPCASEed. So to preserve case, use
names = {"Jenny", "Linda", "Jim", "Samuel"};
If you read data from a data set, you'll automatically get whatever case is in the data:
use sashelp.class;
read all var {"Name"};
close sashelp.class;
print Name;