Based on this answer, you can try the below:
--Example Setup
CREATE TABLE FORDERS (OrderDate datetime)
INSERT INTO FORDERS (OrderDate)
VALUES (GETDATE());
--Actual Query.
DECLARE @Year varchar(4) = 1996;
DECLARE @StartDate datetime = @Year + '0101',
@EndDate datetime = @Year + '1231';
SELECT DATENAME(MONTH, DATEADD(MONTH, x.number, @StartDate)) AS MonthName, COUNT(OrderDate)
FROM master.dbo.spt_values x
LEFT JOIN FOrders ON x.number = MONTH(OrderDate)
AND YEAR(OrderDate) = @Year
WHERE x.type = 'P'
AND x.number <= DATEDIFF(MONTH, @StartDate, @EndDate)
GROUP BY x.number, MONTH(OrderDate)
HAVING COUNT(OrderDate) = 0;