Step one is to get the list in a format SQL Server recognizes. As a single string the example does not properly escape the single-quotes. If the "list" were a string with escaped single-quotes then you could do something like this
declare @list_of_strings varchar(8000)='(''202001'', ''202003'', ''202012'')';
select concat('Month', cast(substring(ltrim(rtrim(sp.value)), 6, 2) as int)) monthNumber
from string_split(substring(@list_of_strings, 2, len(@list_of_strings)-2), ',') sp;
monthNumber
Month1
Month3
Month12
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