Возможно, функция concat () - это точка.
select x.*
into #df
from
(
SELECT 1 as id, 'a' as site, 23 as clicks, 1 as approved, '2020' as year, '1' as month, '1' as day
UNION ALL
SELECT 2 as id, 'a' as site, 1 as clicks, 1 as approved, '2020' as year, '1' as month, '1' as day
UNION ALL
SELECT 3 as id, 'a' as site, 3 as clicks, 1 as approved, '2020' as year, '3' as month, '1' as day
UNION ALL
SELECT 4 as id, 'a' as site, 11 as clicks, 1 as approved, '2020' as year, '4' as month, '1' as day
UNION ALL
SELECT 5 as id, 'a' as site, 345 as clicks, 1 as approved, '2020' as year, '5' as month, '1' as day
UNION ALL
SELECT 6 as id, 'a' as site, 88 as clicks, 1 as approved, '2020' as year, '6' as month, '1' as day
UNION ALL
SELECT 7 as id, 'a' as site, 1 as clicks, 1 as approved, '2020' as year, '12' as month, '1' as day
) x;
select
concat(year, '_', month) yyyy_mm
, sum(clicks) clicks_total
from #df
group by
concat(year, '_', month)