Seems a waste to copy the sql from, e.g., $self->{SQL}->{test} to $self->{test}, and I would assume $self is already a closure, so you shouldn't need to pass it to the sub, and the sth itself can be a closure and so not stored directly in $self, so I might go with:

for ( keys %{$self->{SQL}} ) {
  my $name = $_;
  my $dbh = $self->{DBO};
  my $sth = $dbh->prepare($self->{SQL}{$name};
  $self->{STH}{$name} = sub {
    my @res;
    $sth->execute(@_);
    while (my $dbrow = $sth->fetchrow_hashref()) {
      # Not sure why you're making a reference to a hashref here
      push @res, \$dbrow;
    }  
    return \@res;
  };
}
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And if you don't need to have references to hashrefs in the arrayref, then the execute() and the while loop can be replaced with:

my $res = $dbh->selectall_arrayref($sth, {Slice => {}}, @_);
return $res;
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Or even (only $sth needs to be a closure):

return $sth->{Database}->selectall_arrayref($sth, {Slice => {}}, @_);
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