declare @sql nvarchar(max)

set @sql = '
create procedure p_test as select * from sysobjects;
'

set @sql = REPLACE(@sql, '''', '''''')
set @sql = 'declare @sql nvarchar(max); set @sql = ''' + @sql + '''; use testdb; exec sp_executesql @sql; select db_name();'

execute(@sql) at [mylinkedserver1]