Ah, my apologies. I didn't look at what your code was doing and went only by your description. I thought you were returning something besides the print statement.
To be honest, I'm not sure why you're bothering with OPENROWSET for this task. That, notwithstanding, I don't know the answer to your question.
I am curious, though. Instead of using a stored procedure for this, why not just use an iTVF (inline Table Valued Function) for this and avoid both nested stored procedures and OPENROWSET all together?
--Jeff Moden
Change is inevitable... Change for the better is not.