I don't think you can read a shapefile with VA. You have to use Proc Mapimport (in SAS/Graph) to convert a shapefile into a Map data set.
Then creating a custom map isn't officially supported. You will need to ask someone else how to do that.
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Tips for filtering data sources in SAS Visual Analytics
See how to use one filter for multiple data sources by mapping your data from SAS’ Alexandria McCall.