If you want one of the conditional instructions to do "nothing", then you must use the keyword NOP (for "no operation"). Simply placing no instructions after a THEN, ELSE, WHEN, or OTHERWISE will generate an error.

For example, here we specifically want to do nothing when My_Variable equals 10, and we also don't want to execute the OTHERWISE instructions in that case. 

/* Check My_Variable for a variety of conditions,
  but execute instructions for only 1 condition. */
SAY "Enter a number"
PULL My_Variable
SELECT
   WHEN My_Variable = 10 THEN NOP
   WHEN My_Variable < 10 THEN SAY "It's less than 10."
   WHEN My_Variable < 20 THEN SAY "It's less than 20."
   OTHERWISE SAY "It must be > 19."
END