Du kan bruge en rekursiv CTE:
;WITH CTE AS
(
SELECT convert(date,GETDATE()) sDate, DATENAME(DW, GETDATE()) sDayofWeek
UNION ALL
SELECT DATEADD(DAY,-1,sDate), DATENAME(DW, DATEADD(DAY,-1,sDate))
FROM CTE
WHERE sDate > GETDATE()-29
)
SELECT * FROM CTE