Mesma abordagem que t-clausen, mas mais compacta:
Declare @year int = 2017, @month int = 11;
WITH numbers
as
(
Select 1 as value
UNion ALL
Select value + 1 from numbers
where value + 1 <= Day(EOMONTH(datefromparts(@year,@month,1)))
)
SELECT datefromparts(@year,@month,numbers.value) Datum FROM numbers
