One workaround.

From your sp give a call to another sp in the target database and use sp_rename there.

/*sp in first database where column name has changed already*/ 



CREATE PROCEDURE dbo.a AS

exec northwind.dbo.a

GO



/*and in northwind put in code to change the name of column*/



CREATE PROCEDURE dbo.a AS

exec sp_rename 'Table.ColumnOldName',

    'ColumnNewName' ,

    'Column'

GO