Your question do not state that you are using the fancyvrb package? I do not see a background color option in the package, but for short snipits, use the SaveVerbatim
environment and save it to box. Put the contents then in a colorbox
\documentclass{article}
\usepackage{fancyvrb}
\usepackage{color}
\begin{document}
\begin{SaveVerbatim}[commandchars=\\\{\}]{SVerbEnv}
\color{blue}DATA \color{black}Heart;
\color{blue}INPUT \color{black}X Y @@;
\color{blue}DATALINES\color{black};
28 70 23 68 52 90 42 75 27 68
29 80 43 78 34 70 40 80 28 72
;
\color{blue}RUN\color{black};
\color{blue}PROC REG DATA\color{black}=Heart;
\color{blue}MODEL \color{black}Y=X;
\color{blue}RUN\color{black};
\end{SaveVerbatim}
\fcolorbox{black}{yellow}{\BUseVerbatim{SVerbEnv}}
\end{document}
Alternative you can use the framed package to get mutipage stuff
\documentclass{article}
\usepackage{fancyvrb}
\usepackage{framed}
\usepackage{color}
\definecolor{shadecolor}{cmyk}{0,0,1,0} %yellow
\begin{document}
\begin{shaded}
\begin{Verbatim}[commandchars=\\\{\}]
\color{blue}DATA \color{black}Heart;
\color{blue}INPUT \color{black}X Y @@;
\color{blue}DATALINES\color{black};
28 70 23 68 52 90 42 75 27 68
29 80 43 78 34 70 40 80 28 72
;
\color{blue}RUN\color{black};
\color{blue}PROC REG DATA\color{black}=Heart;
\color{blue}MODEL \color{black}Y=X;
\color{blue}RUN\color{black};
\end{Verbatim}
\end{shaded}
\end{document}
For the data lines only put it in a \colorbox
\documentclass{article}
\usepackage{fancyvrb}
\usepackage{color}
\begin{document}
\begin{Verbatim}[commandchars=\\\{\}]
\color{blue}DATA \color{black}Heart;
\color{blue}INPUT \color{black}X Y @@;
\color{blue}DATALINES\color{black};
\colorbox{yellow}{28 70 23 68 52 90 42 75 27 68}
\colorbox{yellow}{29 80 43 78 34 70 40 80 28 72}
\colorbox{yellow}{; }
\color{blue}RUN\color{black};
\color{blue}PROC REG DATA\color{black}=Heart;
\color{blue}MODEL \color{black}Y=X;
\color{blue}RUN\color{black};
\end{Verbatim}
\end{document}