Where do you want to store and administer the rules of which months get shown for which years ... this doesn't seem like the appropriate place (in a prompt) to be driving that.  You need a separate logical column in which your CASE is run - use that column in conjunction with the year to get the results you want.

I get the requirement ... I'm asking where is the relationship between the YEAR and the MONTHS to be displayed?  That relationship is not in the time dimension, as all years have 12 months.  So ... is the relationship arbitrary or is it from your knowledge of what is in the fact table (you know there is only data for January and February in 2010).  If the latter is the case, then you can use a logical query in the prompt for Months to filter based on fact_amount not equal to zero and not null (or something similar).  If the relationship is not in the data, then you in effect must 'create' that data and relationship.  You can do it the following ways:

1) create a table to hold the special intersection of years and months (will perform the best)

2) create a logical column that has a big case statement that builds the relationship (might not perform too well; any relationship changes require RPD mods)

3) create a logical sql statement for use in the prompt that has the big case statement (will not perform well; any relationship changes require prompt mods (ALL prompts in which it is implemented)

1 is better than 2, 2 is better than 3, 3 is not the way to do it ever ...