I'm writing this from my head, but the problem might be that you are missing single quote qualifier used for string literals in T-SQL. Maybe you could try Proc_CMS_DoSomething '{% CurrentUser.UserName |(identity)GlobalAdministrator%}'
Beware that this approach makes you vulnerable to SQL injection attacks, so you'd better sanitize the username or avoid this approach completely (and instead of using macros output the T-SQL statement programmatically)