It is possible to leave a nested DO macro by specifying a label on the DO macro and the same label as a parameter on a contained ASMLEAVE macro. Here is the flowchart for this structure:

              ┌─←─────────────────────────────────────────────←─┐Not Done
              │              ┌──Loop Body───┐                   ↑
┌──┐  ┌────┐  ↓  ┌─────┐True :              :    ┌─────┐False┌──┴──┐Done ┌─────┐
│DO├─→│Init├─→┴─→┤WHILE├───→ :  some code   :─→──│UNTIL├────→┤Count├─→┬─→┤ENDDO│
└──┘  └────┘     │Test │     :              :    │Test │     │Test │  ↑  └─────┘
                 └──┬──┘     : ┌──────────┐ :    └──┬──┘True └─────┘  │
                    │ False  : │ ASMLEAVE ├───→─┬───┴────────────────→┤
                    │        : └──────────┘ :   └──→ outer ENDDO      │
                    ↓        └──────────────┘                         │
                    └──────────────────────────→─────────────────────→┘

In the following example, asmleave loop breaks from the inner DO loop to the end of the outer (labeled) DO loop, while the asmleave without a label just breaks to the end of the current DO loop:

  loop   do while=2
          do while=4
            mvc a,d
            if (clc,a,eq,b)
               asmleave loop
            else
               asmleave
            endif
          enddo
        enddo

produces:

 loop     do while=2
+loop     DC    0H
+         BC    15,#@LB2
+#@LB3    DC    0H
           do while=4
+         BC    15,#@LB7
+#@LB8    DC    0H
             mvc a,d
             if (clc,a,eq,b)
+              clc             a,b
+         BC    15-8,#@LB11
                asmleave loop
+         BC    15,#@LB1
             else
+         BC    15,#@LB13
+#@LB11   DC    0H
                asmleave
+         BC    15,#@LB6
             endif
+#@LB13   DC    0H
           enddo
+#@LB7    DC    0H
+         BC    4,#@LB8
+#@LB6    DC    0H
         enddo
+#@LB2    DC    0H
+         BC    2,#@LB3
+#@LB1    DC    0H