Names Default To Here( 1 );
dt = Open( "$SAMPLE_DATA/Boston Housing.jmp" );
itemsY = {"chas"};
itemsX = {"crim", "indus", "nox", "rooms", "age", "distance", "radial"};
obj = dt << Predictor Screening( Y( Eval(itemsY) ), X( Eval(itemsX) ) );
Found it, one needs to add Eval().