John,
Any chance you can upload a copy of your report? The fun part is that you have to provide some data for it. So you have two options:
1. post CREATE TABLE and INSERT statements to populate a dummy table to use as the datasource.
2. create a union statement inside the report (embedded in the report).
I'm just not sure what's going on. If you have to show data for a month where there's no data, then the easiest way to do it is to use a Calendar table. Then you do something like this in your query:
SELECT Calendar.TheYear, Calendar.TheMonth, SUM(OtherTable.Amount)
FROM Calendar c LEFT JOIN OtherTable ot ON (c.TheYear = ot.TheYear AND c.TheMonth=ot.TheMonth)
GROUP BY c.TheYear, c.TheMonth
ORDER BY c.TheYear, c.TheMonth;