You need to be explicit in the SQL. Something like this:
select 'Col1' as col from t where col1 = 'N' union all
select 'Col2' as col from t where col2 = 'N' union all
select 'Col3' as col from t where col3 = 'N' union all
select 'Col4' as col from t where col4 = 'N';
Or:
select v.col
from t cross apply
(values ('col1', col1), ('col2', col2), ('col3', col3), ('col4', col4)
) v(col, val)
where val = 'N';
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