Interpolar dinamicamente linhas extras na consulta SQL

O primeiro passo seria adicionar um RowNumber coluna para identificar a primeira linha para cada PorfoilioGroupID:

SELECT  p.PortfolioGroupID, 
        p.PortfolioGroupCode, 
        p.DisplayOrder, 
        p.MemberCode, 
        m.ContactCode, 
        m.Custom01, 
        RowNumber = ROW_NUMBER() OVER(PARTITION BY P.PortfolioGroupID ORDER BY m.ContactCode, p.MemberCode)
FROM    [APXFirm].[AdvApp].[vPortfolioGroupMemberFlattened] p
        LEFT OUTER JOIN [APXFirm].[AdvApp].[vPortfolioInterestedParty] m
            ON p.memberid = m.PortfolioID
WHERE   m.ContactCode is not null
AND     p.PortfolioGroupCode like '%_Package'
ORDER BY m.ContactCode, p.MemberCode;

Em seguida, você pode unir seu conjunto de resultados com um construtor com valor de tabela com seus 3 valores (Cover, Sperator, Report) e apenas adicionar uma cláusula where para garantir que 'Cover' apareça apenas na primeira linha:

WITH Data AS
(   SELECT  p.PortfolioGroupID, 
            p.PortfolioGroupCode, 
            p.DisplayOrder, 
            p.MemberCode, 
            m.ContactCode, 
            m.Custom01, 
            RowNumber = ROW_NUMBER() OVER(PARTITION BY P.PortfolioGroupID ORDER BY p.DisplayOrder)
    FROM    [APXFirm].[AdvApp].[vPortfolioGroupMemberFlattened] p
            LEFT OUTER JOIN [APXFirm].[AdvApp].[vPortfolioInterestedParty] m
                ON p.memberid = m.PortfolioID
    WHERE   m.ContactCode is not null
    AND     p.PortfolioGroupCode like '%_Package'
)
SELECT  d.PortfolioGroupID, 
        d.PortfolioGroupCode, 
        d.DisplayOrder, 
        d.MemberCode, 
        d.ContactCode, 
        d.Custom01, 
        t.PDFType
FROM    Data d
        CROSS JOIN 
        (   VALUES
                ('Cover'),
                ('Seperator'),
                ('Report')
        ) t (PDFType)
WHERE   d.RowNumber = 1
OR      t.PDFType != 'Cover'
ORDER BY ContactCode, MemberCode;

Exemplo no SQL Fiddle