Мы можем использовать RECUSRSIVITY, WITH CTE, объединять ALL следующим образом
declare @mytable as table(id int identity(1,1), str nvarchar(100))
insert into @mytable values('Peter'),('Paul'),('Mary')
declare @myresult as table(id int,str nvarchar(max),ind int, R# int)
;with cte as(select id,cast(str as nvarchar(100)) as str, cast(0 as int) ind from @mytable
union all
select t2.id,cast(t1.str+',' +t2.str as nvarchar(100)) ,t1.ind+1 from cte t1 inner join @mytable t2 on t2.id=t1.id+1)
insert into @myresult select *,row_number() over(order by ind) R# from cte
select top 1 str from @myresult order by R# desc