You can try this bit of code:
ods escapechar='^';
proc sgplot data=xxx;
histogram pm25;
xaxis label="Baseline PM^{unicode '2082'x}^{unicode '2024'x}^{unicode '2085'x}, ^{unicode mu}g/m^{unicode '00B3'x}"
labelattrs=GraphUnicodeText;
run;
Read The Power of Unicode for more details.
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