Try this:
ALTER Procedure [dbo].[SP_myProcedure]
AS
IF EXISTS (SELECT name FROM master.sys.databases WHERE name = 'tempDB') BEGIN
EXEC SP_UpdatetempDB - copy data from another data base
END
ELSE BEGIN
print 'database does not exists'
EXEC SP_CreatetempDB -- create my database SP
EXEC SP_CreatetempDBTables - create table SP
EXEC SP_UpdateTEmpDBData - copy data from another database
END