Can AQT build Stored Procedures for DB2 z/OS?

Yes, as long as you are running DB2 for z/OS v9; this release introduced Native SQL Stored Procedures which are supported by AQT.

If you are running a release of DB2 earlier than z/OS v9, AQT cannot build Stored Procedures. This is because Stored Procedures could only be created by running JCL etc, rather than with a Create Procedure command.