In reply to Philippe.

Yes, you can control the colors. Use the RANGEATTRMAP statement to define the color ramp.
Use the RANGEATTRMAP statement to associate the color ramp to a variable.
On the HEATMAPPARM statement, use the COLORRESPONSE= option to specify the range variable. It will look something like this (untested):

begingraph;
rangeattrmap name='Custom';
range -3-3 / rangecolormodel=(CXFFFFB2 CXFECC5C CXFD8D3C CXF03B20 CXBD0026);
endrangeattrmap;
rangeattrvar attrvar=rangevar var=Z attrmap='Custom';
layout overlay / ...;
heatmapparm x=X y=Y colorresponse=rangevar;
endlayout;
endgraph;