In order to get the filenames, retrieve the directory first, then read each file individually.
The second can be done in a single data step, where you read the filenames from the dataset containing the directory listing, use the FILEVAR= option in the INFILE statement, and a DO loop to read the file.
My presentation https://communities.sas.com/t5/SAS-User-Groups-Library/WUSS-Presentation-Talking-to-Your-Host/ta-p/838344 contains an example where I do this with INFILE PIPE, you need to try this with INFILE FTP.
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