Crear tabla HTML con SQL PARA XML

select 
  (select p.ProblemType     as 'td' for xml path(''), type),
  (select p.Onset           as 'td' for xml path(''), type),
  (select p.DiagnosisStatus as 'td' for xml path(''), type)
from tblProblemList p
where p.PatientUnitNumber = @PatientUnitNumber
for xml path('tr')

Para agregar el encabezado también, puede usar union all .

select 
  (select 'Problem' as th for xml path(''), type),
  (select 'Onset'   as th for xml path(''), type),
  (select 'Status'  as th for xml path(''), type)
union all         
select 
  (select p.ProblemType     as 'td' for xml path(''), type),
  (select p.Onset           as 'td' for xml path(''), type),
  (select p.DiagnosisStatus as 'td' for xml path(''), type)
from tblProblemList p
where p.PatientUnitNumber = @PatientUnitNumber
for xml path('tr')