Run TSQLScripts via the Web Page in c# ASP.Net

I am trying to build the Web Page which can be used to run the TSQL scripts online.

My DB has so many databases and I am using the System Administrator account to execute these scripts.

After building the web page,

1. I can run the simple CRUD statements successfully in all databases
2. I can run the DML statements only for the default connected database, which is MyDB1.
3. Whenever, I create the new Object, it sits in the MyDB1. But I want to run / create objects in another DB.

I tried to run the following command, which is very simple and it works perfectly in SSMS.

USE MyDB2
GO

CREATE PROCEDURE [dbo].MyProc

AS
BEGIN
    INSERT INTO
        dbo.Table1
        (
        FieldA
        , FieldB
        , FieldC
        )
    VALUES
        (
        'AAA'
        , 'BBB'
        , 'CCC'
        )

END

But I am getting the error message:

'CREATE/ALTER PROCEDURE' must be the first statement in a query batch.

My c# code to execute the posted script is here:

DataTable dt = new DataTable();
            try
            {
                using (SqlConnection cn = new SqlConnection("MyConnString"))
                {
                    cn.Open();
                    SqlCommand cmd = new SqlCommand(sql, cn);

                    using (SqlDataReader dr = cmd.ExecuteReader(CommandBehavior.CloseConnection))
                    {
                        if (dr.HasRows)
                        {
                            dt.Load(dr);
                        }

                        dr.Close();
                    }

                    cn.Close();
                }
            }
            catch (Exception ex)
            {
                //Log Error
            }

If I removed, USE statement, it was ok, but it created the object in the default DB which is MyDB1. How I can tweak my code to run it in MyDB2?