Du kan använda en siffertabell:
DECLARE @Date1 DATE, @Date2 DATE
SET @Date1 = '20150528'
SET @Date2 = '20150531'
SELECT DATEADD(DAY,number+1,@Date1) [Date]
FROM master..spt_values
WHERE type = 'P'
AND DATEADD(DAY,number+1,@Date1) < @Date2
Resultat:
╔════════════╗
║ Date ║
╠════════════╣
║ 2015-05-29 ║
║ 2015-05-30 ║
╚════════════╝