Percebi que preciso de uma sub-seleção como esta:
SELECT
UPPER(TO_CHAR(d.start_date, 'mon')) AS month,
EXTRACT(MONTH FROM d.start_date) AS month_num,
SUM(t.cost_planned) FILTER (WHERE t.aasm_state IN ('open', 'planned' ) ) AS planned,
SUM(t.cost_actual) FILTER (WHERE t.aasm_state = 'closed') AS actual
FROM GENERATE_SERIES('2020-01-01'::date, '2020-12-01'::date, '1 month') d(start_date)
LEFT JOIN
(
SELECT t.*
FROM activity_tasks t
LEFT JOIN activities a
ON a.id = t.activity_id
WHERE a.type = 'My Type'
) AS t ON t.start_date >= d.start_date and t.start_date < d.start_date + '1 month'::interval
GROUP BY d.start_date
ORDER BY d.start_date
