Thanks for all the suggestions. Turns out for this application i just had a typo error.
EXEC ('USE ' + @DataName +
'INSERT INTO #TMP1 SELECT ' + @DataName + '.dbo.Sites.FullUrl,'
+ @DataName + '.dbo.UserInfo.tp_Login
FROM ' + @DataName + '.dbo.Sites INNER JOIN
UserInfo ON ' + @DataName + '.dbo.Sites.OwnerID = '
+ @DataName + '.dbo.UserInfo.tp_ID
')
So putting in single quotes with the use statemnt fixed my problem. Just in case anyone wants to know.