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MySQL - alternativas para subconsultas aninhadas ao limitar dados agregados em uma subconsulta correlacionada


Não, você não pode usar subconsultas correlacionadas no FROM cláusula. Mas você pode usá-los no ON condições:
SELECT AVG(d.DailyData1) Data1_20DayAvg 
       --- other aggregate stuff on d (Datatable)
FROM 
      ( SELECT '2012-01-23' AS DateChecked
      ) AS dd
  JOIN
      DataTable AS d
    ON
      d.Date <= dd.DateChecked
    AND
      d.Date >= COALESCE( 
      ( SELECT DailyData1 
        FROM DataTable AS last20 
        WHERE Date <= dd.DateChecked 
          AND (other conditions for last20)
        ORDER BY Date DESC 
        LIMIT 1 OFFSET 19
      ), '1001-01-01'   )
WHERE (other conditions for d Datatable)

Semelhante, para muitas datas:
SELECT dd.DateChecked 
     , AVG(d.DailyData1) Data1_20DayAvg 
       --- other aggregate stuff on d (Datatable)
FROM 
      ( SELECT DISTINCT Date AS DateChecked
        FROM DataTable 
      ) AS dd
  JOIN
      DataTable AS d
    ON
      d.Date <= dd.DateChecked
    AND
      d.Date >= COALESCE( 
      ( SELECT DailyData1 
        FROM DataTable AS last20
        WHERE Date <= dd.DateChecked 
          AND (other conditions for last20)
        ORDER BY Date DESC 
        LIMIT 1 OFFSET 19
      ), '1001-01-01'   )
WHERE (other conditions for d Datatable)
GROUP BY 
      dd.DateChecked 

Ambas as consultas assumem que Datatable.Date tem um UNIQUE limitação.