Here's a pure macro code version. It also allows you to specify that you only want to know about files (and not folders) and lets you specify a basic filter. It returns the list of files in a delimited format but you can easily insert these into a dataset using SQL insert if you wanted to (example included but not tested - no SAS access atm). It can be called from anywhere - within another macro, a dataset, an sql statement... wherever. Just add these two macros to your macro autocall library and you're right to go.
There are 2 macros below. The %isdir macro is required by the %file_list macro. The macros are a bit larger and more complex than the above but they are MUCH more flexible. Plus they provide error checking.
/******************************************************************************
** PROGRAM: ISDIR.SAS
**
** DESCRIPTION: DETERMINES IF THE SPECIFIED PATH EXISTS OR NOT.
** RETURNS: 0 IF THE PATH DOES NOT EXIST OR COULD NOT BE OPENED.
** 1 IF THE PATH EXISTS AND CAN BE OPENED.
**
** PARAMETERS: iPath: THE FULL PATH TO EXAMINE. NOTE THAT / AND \ ARE TREATED
** THE SAME SO &SASDIR/COMMON/MACROS IS THE SAME AS
** &SASDIR\COMMON\MACROS.
**
******************************************************************************/
%macro isDir(iPath=,iQuiet=1);
%local result dname;
%let result = 0;
%if %sysfunc(filename(dname,&iPath)) eq 0 %then %do;
%if %sysfunc(dopen(&dname)) %then %do;
%let result = 1;
%end;
%else %if not &iQuiet %then %do;
%put ERROR: ISDIR: %sysfunc(sysmsg());
%end;
%end;
%else %if not &iQuiet %then %do;
%put ERROR: ISDIR: %sysfunc(sysmsg());
%end;
&result
%mend;
%put %isDir(iPath=&sasdir/common/macros);
%put %isDir(iPath=&sasdir/kxjfdkebnefe);
%put %isDir(iPath=&sasdir/kxjfdkebnefe, iQuiet=0);
%put %isDir(iPath=c:\temp);
/******************************************************************************
** PROGRAM: FILE_LIST.SAS
**
** DESCRIPTION: RETURNS THE LIST OF FILES IN A DIRECTORY SEPERATED BY THE
** SPECIFIED DELIMITER. RETURNS AN EMPTY STRING IF THE THE
** DIRECTORY CAN'T BE READ OR DOES NOT EXIST.
**
** PARAMETERS: iPath : THE FULL PATH TO EXAMINE. NOTE THAT / AND \ ARE
** TREATED THE SAME SO &SASDIR/COMMON/MACROS IS THE
** SAME AS &SASDIR\COMMON\MACROS. WORKS WITH BOTH UNIX
** AND WINDOWS.
** iFilter : SPECIFY A BASIC FILTER TO THE FILENAMES, NO REGULAR
** EXPRESSIONS OR WILDCARDS.
** iFiles_only: 0=RETURN FILES AND FOLDERS
** 1=RETURN FILES ONLY.
** iDelimiter : SPECIFY THE DELIMITER TO SEPERATE THE RESULTS BY.
******************************************************************************/
/*
** TODO: DOESNT CATER FOR MACRO CHARS IN FILENAMES. FIX SOMETIME.
** TODO: IMPROVE THE FILTER. JUST A SIMPLE IF STATEMENT AT THE MOMENT.
*/
%macro file_list(iPath=, iFilter=, iFiles_only=0, iDelimiter=|);
%local result did dname cnt num_members filename;
%let result=;
%if %sysfunc(filename(dname,&iPath)) eq 0 %then %do;
%let did = %sysfunc(dopen(&dname));
%let num_members = %sysfunc(dnum(&did));
%do cnt=1 %to &num_members;
%let filename = %sysfunc(dread(&did,&cnt));
%if "&filename" ne "" %then %do;
%if &iFiles_only %then %do;
%if not %isDir(iPath=&iPath/&filename) %then %do;
%if "&iFilter" ne "" %then %do;
%if %index(%lowcase(&filename),%lowcase(&iFilter)) %then %do;
%let result = &result%str(&iDelimiter)&filename;
%end;
%end;
%else %do;
%let result = &result%str(&iDelimiter)&filename;
%end;
%end;
%end;
%else %do;
%if "&iFilter" ne "" %then %do;
%if %index(%lowcase(&filename),%lowcase(&iFilter)) %then %do;
%let result = &result%str(&iDelimiter)&filename;
%end;
%end;
%else %do;
%let result = &result%str(&iDelimiter)&filename;
%end;
%end;
%end;
%else %do;
%put ERROR: (CMN_MAC.FILE_LIST) FILE CANNOT BE READ.;
%put %sysfunc(sysmsg());
%end;
%end;
%end;
%else %do;
%put ERROR: (CMN_MAC.FILE_LIST) PATH DOES NOT EXIST OR CANNOT BE OPENED.;
%put %sysfunc(sysmsg());
%end;
/*
** RETURN THE RESULT. TRIM THE LEADING DELIMITER OFF THE FRONT OF THE RESULTS.
*/
%if "&result" ne "" %then %do;
%substr(&result,2)
%end;
%mend;
**
** EXAMPLES - HAVENT TESTED THE LAST TWO YET BUT THEY SHOULD WORK IF SYNTAX IS CORRECT
*;
%put %file_list(iPath=c:\temp);
%put %file_list(iPath=c:\xxdffsds);
%put %file_list(iPath=c:\rob\SASDev\, iFilter=a);
%put %file_list(iPath=c:\rob\SASDev\,iFiles_only=1);
%put %file_list(iPath=/tmp/unix_sasdir,iFiles_only=1);
data x;
file_list = "%file_list(iPath=c:\temp)";
run;
proc sql noprint;
insert into my_table values ("%file_list(iPath=c:\temp,iDelimiter=%str(","))");
quit;