No BtEQ doesn't support loops and only supports forward GOTOs. It is a very simple scripting tool.
However that being said how representative is your example?
This is cursor-processing which is very ineffective and set-processing is preferred.
The example could be updated as follows and avoid the use of looping:
bteq<<EOF
sel * from dept where eid in (select eid from emp);
EOF
So this is a precept that should be used wherever possible and in many cases cursor-processing, especially for large volumes is not necessary.
