It's a bit ugly ... but you could do something like

;with companyNotNull as (

SELECT * FROM #Companies WHERE CompanyID = @CompanyID

),

companyNull as (

Select CompanyID FROM #CompanyGroups WHERE CompanyGroupID = @CompanyGroupID

)

SELECT *

FROM companyNotNull

WHERE @companyID is not null

UNION ALL

SELECT *

FROM companyNull

WHERE @companyID is null

Of course this replicates the if ... then ... else structure. If both values are set then the companyID takes precedence.