You need to create a macro variable and then pass that to the code.
http://support.sas.com/documentation/cdl/en/mcrolref/67912/HTML/default/viewer.htm#n1y2jszlvs4hugn14nooftfrxhp3.htm
PROC CONTENTS DATA = WORK.'MY_DATA'n
OUT=VAR_NAMES(KEEP = NAME) NOPRINT;
RUN;
Proc SQL;
select name into :var_list separated by " "
from var_names
WHERE (NAME NOT IN ('DEP_VAR','ID_VAR'));
quit;
*Display the variable list in the log for verification;
%put &var_list;
Then apply that to your data:
proc transreg data=WORK.'MY_DATA'n;
model boxcox( &var_list. ) = identity(DEP_VAR);
run;
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