That is not going to be easy, it's not something that Gamemaker offers by default. The closest thing it has is where room wrapping, where once the player moves outside the room they are moved back to the beginning of the room on the opposite side that they existed. What you want I believe is infinite tiling, where the room just appears to go on forever.
There are a lot of ways you can go about this because it's a rather ambiguous problem. But, essentially you need to create some sort of tiling of "rooms", but you can't use Gamemaker Rooms because you can't have more than one active at a time so you will need to make up your own room system. Then, you basically need to juggle three rooms at a time, the previous room, the current room and the next room, but only 2 of the 3 will ever be active at once. Then, you have to move the rooms around the player, not the player around the room. Then, you have to watch for the camera views placement in the room, if the right end of the view is say 32 pixels away from the right end of the current room then you activate the next room, and move it alongside the current one. Then, once the next view is within the scope of the camera you would shift your three juggling rooms over 1, meaning the previous room is dropped, the current room becomes the previous room, the next room becomes the current room and you shift a new room onto the end for the next room.
This whole thing is very complicated though, and I would consider it in the realm of advanced programming. The only suggestion I would have other than the above is to search online for an existing asset, there is likely something out there that does this already.