Notice the content of your program when viewed from an ISPF Edit session:
/* REXX */ ARGGDG Notice that the REXX instruction is highlighted in RED while the variable is kept unhighlighted in the normal GREEN. ... SAY 'ENTER THE GDG NAME:' Same here. Note how the instruction is highlighted in RED while the literal string is left highlighted in a contrasting white color.
PULLGDG Same highlighting here. ...
If GDG is the name of the variable that contains the actual name entered by the user, then it must remain outside of the literal string and be shown in it's correct unhighlighted state: