Let's say you have a bunch of variables with names beginning with A, a bunch beginning with B, and so on. I assume that what you want to do is to do selection with the A set and separately within the B set, and so on. If correct, that cannot be done at one shot, but you could do it in a separate PROC LOGISTIC step for each set. In the first step for the A set, you would list all of your variables in the MODEL statement so that all of the A variables are last. You would specify the INCLUDE= option, specifying the number of variables preceding the set of A variables to force all of them to stay in the model. Then use the SELECTION= option (and whatever other options you want such as STOP=) to do the selection only within the A set. Once you select the variables to keep in the A set, you can run the next PROC LOGISTIC step with the selected A variables followed by all of the variables except the B set which again will be put at the very end. Update the INCLUDE= value to include all variables except the B set and do the same selection options to select within the B set. And continue for all sets. Note that there is no guarantee that the final set of selected variables will be the same if you do this in the order A, B, C, ... vs another order like C, A, B, ... but model selection methods themselves are heuristic and so are not guaranteed to find the optimal model. So, in that sense, this doesn't make things any worse.
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