Re OP's question from 9 months ago - now PhonePe does support SBI NRO/NRE accounts with US phone numbers. Don't try to look for the bank in the list offered up in the app. Instead use the route for SMS verification, PhonePe will send the SMS from your US SIM and get your account verified. UPI with SBI through PhonePe then works fine (personal experience). Oddly, it still does not work through SBI's own apps.

And for other NRIs/OCIs here looking into this, try this method with PhonePe for your NRO/NRE accounts; they seem to have really expanded the number of banks they support in recent months.

Another possibility is to set up a new account with IDFC First. They allow setting up an account completely remotely from the US (including KYC) and their app natively supports UPI with a US mobile number. It may be the easiest way to get UPI going if you have the right status (NRI/OCI), although of course this is not an option for other travelers.