In reply to Henry.

I don't have personal knowledge of the internal details of the contour plot, but I assume it is the same as for a 1-D kernel density: You estimate the density at a grid of points and linearly interpolate between the grid points. (In 2-D, this is called bilinear interpolation.) If you use a coarse grid, you ought to be able to see the interpolation on each cell. See the article "Bilinear interpolation in SAS."