Maxim 48: The Dot, Always the Dot.
And, since two ampersands resolve to a single one, the first pass will result in
&a_jhonson
and a_jhonson does not exist as a macro variable.
This will do it:
%let a=Peter;
%let b=jhonson;
%let peter_jhonson=salmon;
%put &&&a._&b.;
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