if your values are 1,2,3 etc....
use an expression like this to interpret the numbers as months and then display them in 'mmm' format ( 'Jan','Feb','Mar' ....)
Date(Date#(MonthNumber,'M'),'MMM') as Month
LOAD * INLINE [
load * , Date(Date#(MonthNumber,'M'),'MMM') as Month
drop table numbers;
If you want your month names automatically sorted - i.e. as dual values - you should use the solution suggested by robert_mika:
Month names created with Text() will be sorted alphabetically, which you don't want.
An inline table will work, but this demands an additional table, when you really want to convert month numbers to month names when loading another table, i.e. inside another Load statement.