Changed your code to use sashelp.cars and origin/type as the classification variables. It works fine for me - so it's likely an issue with the data somehow.
Use the macro debugging options and review the log for the errors.
options mprint symbolgen;
%macro export_to_excel;
%let dsn=sashelp.cars;
PROC SQL noprint;
SELECT DISTINCT origin
INTO :country1-
FROM &dsn;
%let numCountries = &SQLOBS;
QUIT;
%do i = 1 %to &numCountries;
%let country = &&country&i;
ods excel file="//home/fkhurshed/Demo1/&country..xlsx";
PROC SQL noprint;
SELECT DISTINCT type
INTO :event1-
FROM &dsn.
WHERE origin = "&country";
%let numEvents = &SQLOBS;
QUIT;
%do j = 1 %to &numEvents;
%let event = &&event&j;
%let startdate = &&startdate&j;
%let sheetname = %sysfunc(tranwrd(&event, %str( ), _));
ods excel options(sheet_name="&sheetname");
PROC REPORT DATA=&dsn;
WHERE origin = "&country" AND
type = "&event";
COLUMN Origin type make model;
RUN;
%end;
ods excel close;
%end;
%mend export_to_excel;
%export_to_excel;
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