não tenho certeza do que você tenta alcançar, talvez isso
select member from tablemember where Membergroup = 'testgroup'
union
select 'no Entry'
from dual
where NOT EXISTS ( select member from tablemember where membergroup = 'testgroup')
;
select member from tablemember where Membergroup = 'testgroup'
union
select 'no Entry'
from dual
where NOT EXISTS ( select member from tablemember where membergroup = 'testgroup')
;