When you include the OSM option in the CHORO statement in PROC GMAP, the output does not include the OpenStreetMap background map. 

As an alternative to using the OSM option in PROC GMAP, it is recommended that you use the OPENSTREETMAP statement in the SGMAP procedure to produce the map. 

Here is an example:

proc sgmap mapdata=mapsgfk.us_states;
  openstreetmap;
  choromap / mapid=id;
run;